Associate Director – Stress Testing, FO Pricing and Risk Models

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CRISIL Irevna UK Limited
Published
20th October 2020
Location
S&P Global 20, Canada Square Canary Wharf, 12th floor, United Kingdom
Category
Job Type
Salary
Confidential
Preferred Academic Qualification
MSc, CQF, MFE
Recruiter/Employer Name
Bhakti Doshi

Description

Location: London

Pay: £90,000.00-£95,000.00 per year

Experience: 12+ years

Closing date of application: 19th November 2020

Job Duties:

  • The role will require working closely with the model development team of a large global bank. This will include documentation and validation of stress testing, FO pricing and risk models for regulatory requirement.
  • The candidate is required to have sound knowledge and exposure to stress testing processes and risk/pricing models across different asset classes. This will include exposure to any of the following methodologies/regulations/processes :

– Derivatives Pricing models
– EBA, CCAR, PRA and ICAAP stress testing processes

– Scenario expansion and generation models

– Macro-economic forecasting model

– ICAAP models

  • Key responsibilities include: understanding business requirements, regulatory guidelines, cleaning/transforming data, determining appropriate modeling methodologies, model construction/testing, building prototype models, validating the models based on prescribed guidelines, model documentation and review.

Qualification:

  • Bachelors or Master’s Degree in Engineering from a premier institute.

Skills Required:

  • Should have strong experience in leading multiple teams and projects
  • Strong track record of successful quant project execution
  • Good Mathematical and numerical skills with excellent knowledge of quantitative finance.
  • Good understanding of Derivative pricing models across asset classes. With main focus on Equity and Interest rates.
  • Good understanding of different regulatory regime and stress testing.
  • Must have experience in predictive model development using Econometrics.
  • Must be able to interpret and implement Macroeconomic models like “Dynamic Stochastic General Equilibrium Model” etc.
  • Must be comfortable in VaR, VECM, ARDL, GARCH, Regression etc.
  • Must have experience in developing predictive models in R/Python.
  • Sound knowledge of standard tools and platforms used in the industry
  • Ability to explain complicated concepts with ease to a wide range of audiences.
  • Comfortable programming in one or more of the following C++/C#, Java, Python, R etc.
  • Good communication skills, team-work and flexibility

About CRISIL GR&A:

CRISIL Global Research & Analytics (GR&A) is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity firms and asset management firms. CRISIL GR&A operates from research centers in Argentina, China, India and Poland, providing research support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity and fixed income research (covering global economies, 150 global sectors and over 3000 global companies), credit analysis, exotic derivatives valuation, structured finance, risk modeling and management, actuarial analysis and business intelligence.

CRISIL GR&A includes Irevna, Pipal Research and Coalition, firms which were acquired by CRISIL. For more information, please visit www.crisil.com/gra, www.pipalresearch.com and www.coalition.com

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