Manager, Market Risk and Analytics

About the Role

We are looking for a skilled and analytical professional to join our Market Risk & Analytics team. The role involves working on consulting engagements with leading banks, financial institutions, NBFCs, insurance companies, and corporates to address complex market risk challenges.

The ideal candidate will have hands-on experience in market risk measurement, quantitative modelling, model validation, and regulatory frameworks, including Fundamental Review of the Trading Book (FRTB). The role offers an opportunity to work on challenging assignments, develop innovative risk solutions, and contribute to the firm's growth.

Role & responsibilities

• Independently lead and manage consulting engagements with leading banks, financial institutions, NBFCs, insurance companies and corporates covering areas such as Market Risk Management, Market Risk Modelling, VaR/Expected Shortfall, stress testing, risk sensitivities, FRTB and other market risk areas.
• Demonstrate knowledge of market risk concepts and methodologies across key asset classes and financial products including interest rates, foreign exchange, equities, commodities, credit spreads and derivatives.
• Demonstrate knowledge of concepts related to market risk measurement and modelling, including Value-at-Risk (VaR), Stressed VaR, Expected Shortfall (ES), sensitivity-based risk measures, historical and Monte Carlo simulation, stress testing, backtesting and scenario analysis.
• Demonstrate understanding of market risk regulatory frameworks and capital requirements, including Basel/FRTB requirements, risk factor eligibility, modellable/non-modellable risk factors, and market risk capital calculations.
• Lead and drive day-to-day execution of client projects.
• Work closely with client stakeholders to understand business requirements, translate them into analytical solutions, and communicate findings and recommendations effectively.

Qualification:

• Advanced Degree: Masters/PhD in Finance, Economics, Statistics, Mathematics, Data Science, Engineering, or similar.
• Certifications: FRM, CFA, PRM, or equivalent.
• Strong experience in Market Risk and FRTB modeling or model validation/development
• Regulatory Knowledge: Understanding of Basel/FRTB market risk framework and related regulatory requirements.
• Financial Products: Strong understanding of financial products and their market risk characteristics, including fixed income, FX, equities, commodities and derivatives.
• Technical Skills: Proficiency in Python or equivalent programming languages.
• Communication Skills: Strong report writing, presentation and client communication skills.