An exciting opportunity to join the Credit Analytics CCR Methodology Team within CRM.

Counterparty Credit Risk (CCR) Exposure and Collateral (ECA) Methodology team in Mumbai is an
integral part of the global CRM Credit Analytics team. CCR ECA Methodology owns and is responsible for
further development of methodologies for counterparty credit risk exposure measurement based on
Monte Carlo driven models. The primary role of the team is to measure and verify counterparty credit
risk for the investment bank.
The objective of the role is to work closely with the colleagues in London and Zurich to support
changes/enhancements to the methodology frameworks and additionally support several tactical
process and reports for regulators as well as credit officers.

 Developing, Implementing and maintaining the methodologies to calibrate and monitor the
performance of bespoke Monte Carlo exposure, collateral and netting models for derivatives
and come up with innovative solutions to address the assumptions and limitations of the
models.
 Modelling the stochastic behavior of various risk factors underlying derivative trades (e.g. FX,
interest rates, equity, commodities)
 Programming of prototypes and production code (within an established C++ library, Python/R
codebase)
 Interaction with various internal and external stakeholders such as Credit Officers, IT and
regulators and addressing requests from various regulators in the context of Basel 3 model
implementation.
 Analyze and address questions around the exposure profiles from internal FO representatives
and end to end responsible

You offer:

 Analytical /Numerical degree (physics/Mathematics/Engineering). CFA/FRM/CQF will be

preferred
 Experience of at least one of the following topics: Numerical simulations, Monte Carlo,
derivative pricing /modelling, Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
 Working knowledge of at least one of R, MATLAB, Python, Mathematica or C++ is a must
 VBA, SQL, and Office package is highly recommended
 Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be
considered advantageous.
 Being responsible for deliverables.
 Good Communication skills.
 Highly Detail Oriented and strong team player.
 Strong analytical and problem solving skills
 A pragmatic and solution-oriented working style and Willingness to work hands-on