Senior Analyst, Market Risk

Market/Counterparty Risk modelling team , is a key member of the Risk Modelling Team Responsible for acting as an individual contributor in the development and maintenance of high quality risk analytics for Market Risk modelling and Counterparty Credit Risk Modelling. Resolves complex issues in Risk system, enhancement in quantitative methodologies or other aspects of risk measurement.

Job title - Senior Analyst/Associate Consultant

Location Bangalore

Experience 2-5 years of relevant experience

Major Duties

◼ Responsible for Capital Market model development for bank’s trading derivative products (FX and Interest Rate Derivative), and securities lending portfolio including equities. Fixed income and securitized issues. Ensures regular production of analytical work. Development of daily trading limit models , Initial Margin models for uncleared trades and Basel regulatory exposure calculation tools (EAD). Collaborates with front office business partners, regulators, Audit Services, and other independent reviewers.

◼ Evaluates existing framework in relation to corporate objectives and industry leading practices. Assesses development needs and manages process to achieve desired future state.

◼ Supports stress testing, capital quantification and/or internal capital allocation methodologies. Ensures that modelling approaches meet both internal corporate needs and regulatory requirements related to prevailing regulatory guidance.

◼ Provides technical/theoretical inputs to resolve risk issues and enhance overall risk framework. Works with other risk or business unit teams to ensure that risk management policies/processes and quantitative modelling approaches are consistent.

◼ Provides communication and training efforts to promote understanding of risk measurement throughout the company

◼ Operates independently; has knowledge of banking balance sheets and income statements.

◼ Conducts analysis, independently ensuring accuracy and completeness.

◼ Responsible for interaction with different committees and/or senior management.

◼ Strategic in developing, implementing and administering programs within Risk Management for specific product(s).

Qualification

◼ Master in Statistics/ Economics/Mathematics/advanced degree in quant area

◼ Or B.tech. From tier 1 college with MBA in related field

Skills Required

◼ 2-5 years of hands on market/counterparty quantitative risk related experience

◼ Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques including familiarity with statistical concepts used in stress testing Strong in quantitative skills – experience in model validation a plus

◼ Experience in Python, SAS, advanced Excel techniques and VBA programming. Python is preferred

◼ Experience in building stochastic process pricing models, and Monte Carlo Simulation models.

◼ Strong regulatory understanding for banking capital review rule, market risk rules, and model risk compliance, such as BASEL, CCAR, SR11/7 etc.

◼ Strong organizational and interpersonal skills

◼ Excellent verbal and written communication skills (English)

◼ Experience of working in a multi-cultural and global environment

◼ Related Industry qualification (e.g., CFA, FRM) a plus