Avp Quantitative Analytics Ccr Modeler

Barclays

Mumbai, India
Counterparty credit risk (ccr) modeling
Imm models and sa-ccr frameworks
Cva and basel framework knowledge
This role involves spearheading the evolution of digital landscapes by developing best-in-class credit risk models using industry-leading frameworks

Job Summary

  • This role involves spearheading the evolution of digital landscapes by developing best-in-class credit risk models using industry-leading frameworks.
  • The successful candidate will collaborate with technology teams to operationalize analytics solutions while ensuring strict conformance to Barclays Enterprise Risk Management Policies.
  • As an Assistant Vice President, you are expected to lead a team, influence decision-making, and demonstrate the LEAD behaviors of listening, energizing, aligning, and developing others.

Matching Summary

This role involves spearheading the evolution of digital landscapes by developing best-in-class credit risk models using industry-leading frameworks.

Skills & Requirements

Must-have

  • Counterparty Credit Risk (CCR) modeling
  • IMM Models and SA-CCR frameworks
  • CVA and Basel Framework knowledge
  • Monte Carlo simulation expertise
  • Python or C++ coding proficiency
  • Model development and validation experience
  • Regulatory compliance (SR 11/7, SS1/23)

Nice-to-have

  • Stress testing and scenario modeling
  • Wholesale credit book statistical modeling
  • Derivatives pricing and Greeks calculation
  • Collaboration with global regulators
  • Agile development methodology experience

Key Requirements

  • Assistant Vice President level experience
  • Hands-on coding in Python or C++
  • Knowledge of SR 11/7 and SS1/23 regulations
  • Experience in model development or validation
  • Understanding of PFE, EPE, and EPPE metrics

Work Rights

Not specified

Tailored Resume

Cover Letter