Role Overview:

Candidate shall have experience in quants and analytics for Market Risk and Liquidity Risk Management in Private Sector Banks, MNC Banks, or Consulting firms.

Candidate shall possess comprehensive understanding of Market Risk or Liquidity Risk model creation and validation, treasury products valuation methodologies, sensitivities, VaR, statistical tools, and behavioral analysis.

Candidate should also possess working knowledge of latest prevailing regulatory guidelines.

Responsibility Areas:

- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets or Python.

- Ability to price Vanilla as well as structured products through excel spreadsheets or software such as Python or R studio.

- Ability to create new models from white papers.

- End to end model creation and validation for Market or Liquidity risk models.

- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.

- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.

- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.

- Review and enhancement of VaR (Historical simulation and MC VaR), Stress VaR, and Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies.

- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.

- P&L attribution analysis based on first and second order sensitivities and underlying market movements.

- In depth understanding of advanced structured products like Barrier options, Digitals, caps and floors, CDS, CLN etc. including its risk and valuation.

- Shall have granular understanding of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.

- Supporting creation of models, maintenance and execution of risk model validation processes.

- Providing input into ongoing development and refinement of risk model monitoring, validation, reporting frameworks and methodologies.

- Oversight of ongoing risk model monitoring and reporting.

- Ongoing management and maintenance of the Risk Models Inventory.

- Understanding of Market Risk or Liquidity standards prescribed under Basel III.

- Ability to create new models basis the organizational requirement.

- Periodic review and enhancement in the risk models.

- Periodic back-testing of behavioral analysis undertaken.

- Putting up the results of the model validation to higher authorities or Committees.

- Implementation of Interest Rate Risk in Banking Book models.

- Documentation of Models for Market and Liquidity Risk.

Skill Set:

Educational Qualification:

- MSC in Mathematics/Statistics, Graduate from IIT/NITIE/ISI, MBA, or CA.

- Risk Management qualification like FRM, PRM, or CFA will be preferred.

Technical Knowledge:

- Strong analytical, numerical research and problem solving skills.

- Knowledge of working on software such as Python, R Studio, SAS, SQL, Power BI, etc.

- Proficient with MS Excel and Excel Macro.

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality.

- Knowledge of financial products or quantitative modelling in the Banking industry.