Senior Manager

Job Summary

The opportunity: Senior Manager-FS-Business Consulting Risk- IRRBB Quant - Mumbai, Delhi, Bangalore.

Responsibilities

• Advise/support Banks and Financial Services Institutions on Liquidity and IRRBB related concepts like cash flow, liquidity risk, intraday liquidity, behavioural modelling, Prepayment and NMD modelling, stress testing, etc.

Qualifications

• Master's in Business Administration/ Chartered Accountant/ Maths/ Stats with prior experience in Liquidity Risk and Interest Rate Risk domain.
• Strong academic background.
• Industry certifications such as FRM, PRM, CFA, CQF preferred.

Experience

• Model validation and/or model development experience in Liquidity Risk or IRRBB.
• Models including BS products volume of cash flow modelling, liquidity requirement towards derivative trades, intraday liquidity, behavioural modelling e.g. Prepayment and NMD modelling, NMP modelling, deposit modelling, embedded optionality products. Technique can be regression, ARIMA, historical analysis etc.
• Methodology familiarity of using survival/hazard models, logistic regression, ARIMA, ARIMAX, regression.
• Machine learning models such as XGB, LightGBM, Random forest, Logit, experience is good to have.
• Strong understanding of risk regulatory frameworks like Basel (d368), CRD V, PRA s3115, EBA GL etc in the areas of IRRBB and Liquidity Risk.
• Awareness of functional design and database framework for risk management systems and applications.
• Knowledge of IR sensitive products in Banks (deposits, loans, secured/unsecured funding, IR derivatives) and their characteristics.
• Good knowledge of Liquidity Risk Measurement, IRRBB framework, Behavioural analysis, Basel III LCR and NSFR ratio computation, Stress Testing, Banking product knowledge and treatment of off balance sheet exposure.
• Exposure to any of these: SR 11-7, FTP, ILAAP, Hedge Accounting, BA 330, Balance Sheet Management will be preferred.
• Python or R skill is must have
• Experience across a range of risk platforms and technologies/products such as QRM, OFSAA, or SAS, FIS BSM, etc. will be an added advantage.

Good to have - Key Competencies and Skills

• Strong quantitative and statistical knowledge along with programming skills.
• Exposure to working in globally distributed workforce environment including offshore mode.
• Excellent communication and interpersonal skills.

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