Associate - Market Risk Methodology - BFS

Market Risk Methodology Associate

Your key responsibilities:

- Development of complex processes, framework or risk analysis as well as improvements

- Implement, enhance and maintain existing framework to measure market risks across the bank

- Understand and decipher business problem to convert into manageable smaller problem statements

- Coordinate and gather information from various stakeholders for deeper understanding of the business

- Design an automated solution which is optimized and scalable

- Develop and design tables and databases required for the storage of the data

- Develop applications/libraries for the implementation of the solution

- Remediation of regulatory as well as external and internal findings against the MR HS models in line with the assigned tasks

- Constant awareness and understanding of the key market risks taken by the business areas and communication to senior management and with external stakeholders, challenge the business within assigned areas when required

- Quality assurance (e.g. 4 eyes principle reviews)

Your skills and experience:

Education/ Qualifications:

- Strong educational background in Engineering/Science, Economics, Statistics or other numerate discipline preferably from good colleges in India e.g. IIT, NIT, ISI etc.

- Experience with applied econometrics (Hypothesis testing, PCA, Linear/Non-Linear Regression etc)

- Good knowledge of financial instruments and markets across all asset classes

- Knowledge of financial pricing models, risk models would be desirable

- Fair knowledge of key risk measures (e.g. duration, PV01, VaR, EC) & models across asset classes models

Competencies:

Programming Skills:

- Experience in Python programming & relational database design (oracle, my sql)

- Good knowledge of OOPs programming concepts ( Class, Pointers, Data structure)

- Experience in pulling data from various Market data sources.

- Independent handling and mitigating methodological or process weaknesses identified by regulators, auditors and internal model validation team

- Strong communication skills and presentation ability with attention to detail

- Good problem solving instincts and strong analytical skills

Personal characteristics:

- Ability to work independently as well as flexibly within intra or inter-departmental groups

- Continuous advancement of own skills and knowledge

- Can-Do attitude & Able to cope well under pressure and tight deadlines