Market Risk Analyst

Location

• Mumbai only
• Gurgaon/Bangalore candidates can also be considered, provided they are open to monthly travel to Mumbai as per business requirements.

Role Overview

Looking for candidates with experience in Market Risk with risk modelling and model Development and/or model validation and FRTB

Key Responsibilities

• Develop and validate Market Risk and Pricing Models.
• Work on FRTB IMA, VaR, Stressed VaR, RNIV and P2A.
• Work on Counterparty Risk, XVA and Stress Testing models.
• Perform model validation, benchmarking and outcome analysis.
• Identify model limitations, weaknesses and risks.
• Prepare model validation reports and documentation.
• Track and close model-related findings.
• Work on derivative pricing and valuation, including plain vanilla and exotic products.
• Support global teams as a Market Risk / Model Risk SME.
• Follow SR 11-7 or similar model risk guidelines.

Skills Required

• Market Risk experience is mandatory.
• Model development and/or model validation experience is mandatory.
• Python is mandatory, with hands-on experience in libraries such as NumPy / Pandas OR SciPy, etc.
• Knowledge of FRTB IMA, VaR, SVaR, RNIV, P2A, Counterparty Risk, XVA and Stress Testing.
• Knowledge of Derivative Pricing and Valuation.
• Working knowledge of SQL.
• Understanding of Financial Risk Management and Model Risk Governance.
• Good documentation and reporting skills.
• Good knowledge of MS Excel, Word, PowerPoint and LaTeX.