Quant Role - Market Risk - BFSI

Hiring for a client based in Mumbai.

- Candidates should have experience in the financial markets / bank's treasury middle office / market risk function.

- Experience in performing valuation and market risk measurement (risk sensitivities, VaR, stress testing, counterparty credit risk etc.) modelling for various treasury products like bonds, derivatives, options and other exotic products

- Knowledge of quantitative finance concepts such as stochastic calculus, pricing theory as well as statistical modelling concepts.

- Experience in developing and validating market risk methodologies and frameworks

- Experience in Basel 2, Basel 2.5 (IMA) and Basel 3 implementation and should be familiar with latest regulatory developments around Incremental Risk Charge (IRC), Expected Shortfall, Credit value adjustment (CVA), Potential Future Exposures (PFE), Counterparty Credit Risk (CCR), etc.

- Familiar with global regulatory requirements of PRA, FINMA, FINRA, SEC

- Experience in managing large projects with respect to market risk / treasury implementation and working in multi-dimensional teams involving various departments and system vendors

Willingness to travel - both domestic as well as internationally.