Client - Global Investment Bank

Location - Mumbai

Role - Market Risk Management & Analytics

Level - Analyst /Associate / Manager

Experience - 2 - 7 years

Education - BE / B.Tech would be a mandatory ask.

Our client is looking for candidates with highly numerical and quantitative aptitude to be part of its Risk Management Division. The Risk Management Division encompasses the firm's comprehensive risk framework responsible for determining and managing the overall risk appetite for the firm. The division is responsible for effectively managing the firm's risk-return profile that ensures the efficient deployment of the firm's capital. It is one of the firm's core competencies and is independent of the trading areas and operational areas.

Market Risk Management works to identify, monitor and control the firm's exposure to risk, analyze stress test results, and provide analysis on new products and businesses. The Market Risk managers liaise with the risk managers in the trading centers on a daily basis to help manage their market exposure, set & review risk strategies. Major activities involve daily analysis and interpretation of the results of risk sensitivities; validation of VaR, Incremental Risk Change, Economic Capital numbers and sign-off on the relevant Risk systems & preparation of risk reports for traders and senior business management. Risk managers are also expected to re-engineer the risk reporting process and provide ad-hoc risk views and drill down analysis of less transparent risks and issues of importance to senior Risk Management/Trading Heads.

Roles &

Responsibilities:


Work with risk managers primarily focused on the US Agency Mortgage Business (Pass-throughs, CMO, Agency CMBS) and Non-Agency Securitized Products Business (Legacy RMBS, RMBS 2.0, CLO and secured lending.

Role will include monitoring markets, trading activity and limit utilization, as well as performing ad-hoc stress analysis, preparing risk reports and discussing trading desk positions and risk exposures with senior risk managers and traders.

Work closely with the Risk Methodologies Group (RMG) on the projects related to Regulatory capital models (eg. Basel,FRTB).

Ensure that the FRTB & IMA models meet their stated objectives by building robust risk factor eligibility test tools and methodologies.

Act as a subject matter expert for the risk models including an understanding of FRTB guidelines and providing support to the model users (i.e. Risk managers) and be a key point of contact with respect to such models.

Development and periodic update of proto-type models with special attention to the model related to Market risk VaR.

Build FRTB based What-If prototype tools in collaboration with Business / Risk Managers for new portfolio / hedge impact analysis

Skills and Expertise required.

Need to have expertise on all FRTB capital models as well as PLA/ RFET. Need to have already worked on SA and IMA models

Experience with handling stakeholder requests (typically FO and Risk Managers)

• Strong Market Risk RWA modelling background (preferably on FRTB SA and IMA models) and coding skills in Python

Good in SQL / Excel. Even basic ability is acceptable.

Good knowledge of Financial Products (especially derivatives), Financial Markets, Economics Understanding of risk sensitivities, VaR and economic capital Background in a numerical discipline: engineering; math; science; etc.

Strong analytical, quantitative and technical abilities Strong communication skills (oral and written)

Skills: Market Risk Management, VaR, Sql, Risk Management, Quantitative, economic capital, Analytical, Excel, Communication, Python

Experience: 2.00-7.00 Years