Senior Analyst/Associate - Market Risk Analytics

The Methodologies group within Quant Risk management division has the mandate to develop / enhance risk models in line with internal and regulatory requirements.

Some of the tasks / assignments that members of the Methodologies team would be expected to carry out:

- Conceptualization of Value at Risk (VaR), Incremental Risk Charge (IRC), Comprehensive Risk Model (CRM) and other risk models

- Development of proto-type models

- Liaise with Model Validation on model risk issues

- Provide inputs regarding Time Series usage

- Implementation of regulatory requirements within the existing platform

- Estimation of parameters (such as Volatility & Correlation) for the models

- Testing and Documentation

- Partnership with technology to translate quantitative requirements into the risk systems.

Key Skills :

- Knowledge of Derivatives

- Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometrics) OR IIT Dual degree (Finance) with relevant work experience

- Expert level knowledge on MS-Excel, VBA