AVP - IB VaR Change Analyst

Company: Leading Investment Bank

Location: Mumbai

Education:MBA/CA/BE/Btech/MSc+ CFA, FRM & PRP.

Exp: 5+ yrs

Job Responsibility:

- Main focus is the implementation and analysis of new risk methodologies for VaR

- Involved in the continuous improvement cycle of VaR methodologies

- Preparation of impact testing reports and analysis for regulatory submission

- Understand the configuration of model inputs & market data

- Perform market data updates for new methodologies, and understand impacts

- Ensure the implemented model passes independent validation, internal governance and regulatory approval

- Liaise with different stakeholders of change projects such as Risk Managers, Risk Methodology, Project Management, Market data and Risk reporting teams

- Department training around new methodology implementations

Experience & Skills Required:

- Skillset - 5+ years of market risk / VaR or related experience;

- Capital Calculation & Historical Stimulation

- Solid understanding of Credit products and the risks they generate is a plus

- Background in statistics and time series analysis

- Experience in an investment bank ideally with some exposure to risk Management and VaR analysis or a Credit Risk background is a plus.