CCR Quant (Hyderabad)

CCR Quant (Hyderabad)

06 Aug
|
EY
|
Hyderabad

06 Aug

EY

Hyderabad

- Experience in developing/validating the quantitative and mathematical models for the
CCR/XVAs

- Have a positive understanding of risk simulation under IMM and derivative pricing models

- Able to demonstrate SME skills on Various Credit risk exposure computation methods such as
SA-CCR, CEM and IMM- Monte carlo simulation

- Strong Understanding of Credit risk metrics such as EE, EPE, PFE, etc

- Understanding of Valuation adjustments such as CVA, DVA, FVA etc

- Deep Understanding of various derivatives and exotics (Black Scholes, Stochastic calculus etc)

- Hands on experience of python in model development/validation role

- Understanding of Collateral Modelling for Variation Margin and Initial Margin

📌 CCR Quant (Hyderabad)
🏢 EY
📍 Hyderabad

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