- Experience in developing/validating the quantitative and mathematical models for the
CCR/XVAs
- Have a good 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
- Solid 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 (Delhi)
🏢 EY
📍 Delhi
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