Risk Analytics & Modeling Role - SAS - Capital Market

Below are the details required for Risk Analytics - Capital Market. Also enclosed is the demand description document for ready reference.

- Capital Markets: Strong understanding of financial instruments/ products across equity, fixed income, derivatives and/or securitization space. Conceptual understanding or direct exposure to one or more of the following types of models: interest rate pricing models, equity and FX option pricing models, commodities, single and multifactor derivative pricing models, stochastic volatility models, etc.

Preferred Skills

- CCAR models (PPNR / revenue / loss forecasting), FRTB

- Market Risk and Counterparty Credit Risk Model development and validation / audit

- Exposure to a wide variety of portfolios - retail, wholesale, capital market, insurance

- Industry certifications such as FRM, PRM, CFA

- Risk analytics experience in countries like US, UK, etc.

- Transferable work permit for countries like US, UK, etc.

- Whitepapers and other publications in risk domain

Strong academic credentials and merit performance in competitive exam (CAT, GRE, CET, GMAT etc.)

Tools Required

- Expertise in one or more of the following tools - SAS, Python, R, Matlab, Big data tools, Prophet

- Knowledge of one or more of the following vendor products such as Moody's Risk Calc, Risk Frontier, Credit Edge, Bloomberg, Reuters, Murex, QRM, etc.