Consultant/Assistant Manager - Market Risk - FRTB
DIgitalcubez · Mumbai · onsite · Posted 65d ago
About a minute. You'll make an account on the way through.
About this role
Designation: Market Risk (FRTB) Consultant/AM
Experience: 2 - 6 years
Location: Mumbai
Roles And Responsibilities:
- Develop and/or validate market risk and pricing models, including FRTB (IMA), Value-at-Risk (VaR), Stressed VaR (SVaR), Risk Not in VaR (RNIV), P2A, Counterparty Risk Exposure models, and XVA and stress testing models.
- Perform end-to-end model validation, including benchmarking, outcome analysis, and impact assessment.
- Prepare high-quality model validation reports, clearly documenting assumptions, limitations, and identified weaknesses.
- Ensure all work is well-documented, concise, and reproducible.
- Track, manage, and close model-related findings effectively.
- Conduct model risk assessments, including robustness analysis and identification of model limitations.
- Provide subject matter expertise (SME) on models and model risk to global teams.
- Work on derivative pricing and valuation models, covering both plain vanilla and exotic instruments.
- Ensure adherence to model risk management guidelines, such as SR 11-7 or equivalent regulatory frameworks.
Required Skills & Expertise:
- Strong experience in Market Risk and FRTB modeling or model validation/development.
Qualifications: CA, MBA Finance, PGD (Preferably Finance).
In-depth knowledge of:
- Financial risk management practices.
- Regulatory expectations and model risk governance.
- Proficiency in Python and working knowledge of SQL.
- Strong documentation and reporting skills.
- Advanced proficiency in Microsoft Word, Excel, PowerPoint, and LaTeX.
Mandatory Skills:
- Market Risk, Pricing Models, Model Validation, Python, Counterparty, Credit Risk, Risk Indicators, VAR, Stress Testing.
Additional Skills:
- Communication Skills, Documentation Skills.
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