AVP - Quant - Market Risk/VaR - Investment Bank - IIT/IIM/NIT/BITS

Captive of top MNC investment bank hiring for Mumbai.

Candidate Qualification : PhD / M. Sc (Financial Engineering / Statistics / Mathematics) / M.Tech / B.Tech from (IIT / BITS / NITS) / IIM PG / MBA Tier I

Experience required : 4 -8 years

Job Location : Mumbai

Designation : AVP

The VaR Methodology team reports to the Chief Risk Officer within Market & Liquidity Risk Management and is responsible for:

- Creating models which capture market risk;

- Making sure those models adhere to regulatory guidelines;

- Implementing market risk models in IT systems;

- Describing and documenting models for regulators;

- Establishing policies and processes covering market risk.

The VaR Methodology team, within Market & Liquidity Risk Management (MLRM), provides all market risk models for relevant products used in the Investment Bank. It provides clarity on those models to both internal and external parties, specifically regulatory bodies (e.g. PRA, FINMA).

The team also deals with risk that cannot be adequately measured using the normal Value-at-Risk process, for instance, because the data surrounding that risk type is unreliable.

The team's activities also includes providing advice on risks which are not currently captured, applications to regulators for new risk models, ensuring that existing Risk models and processes currently approved by regulators comply with new regulations, aligning Front Office and Middle office processes, and maintaining a governance framework surrounding all market risk models.

The team's coverage is Global Market and Specific Risk. The team currently consists of people located into London, New York and Mumbai.

The team has an opportunity for an experienced Market Risk professional to assist in the creation, implementation and maintenance of VaR methodologies. The role will cover IB and all regulators though principally the PRA and FINMA. The candidate will work on traded credit VaR and CVA VaR models.

Duties and Responsibilities :

The principle responsibilities are as follows :

- Organizes the creation and analysis of new quantitative risk models and ensures their correct implementation.

- Review old models to ensure they are fit for purpose and decides upon improvements.

- Presents analyses and results with teams such as Front Office Quants, Market Risk Clusters and Risk Managers and discusses relevant model issues and solutions

- Produces and reviews internal and external model documentation

- Liaises with the Risk Model Validation team to discuss and understand reviews and organises the implementation of recommendations where necessary

- Ensures consistency in models and alignment with governance policies and bodies

The successful candidate will be expected to interface with Senior Risk management across the Risk team, and partner with the market risk management, asset class clusters and risk model validators to ensure successful regulatory interactions.

You offer :

- Proven financial sector experience, preferably in a risk management or modelling role in an investment or large commercial bank, an industry association or hedge fund.

- Relevant undergraduate degree in science, technology, mathematics, engineering or other logical discipline preferred.

- Good knowledge of quantitative finance and risk.

- Working knowledge of computer programming and data manipulation

- Solid understanding of risk systems and feeds

- Demonstrated interest and basic understanding of financial markets

- Very well developed communication skills to communicate complex ideas to both quantitative and non-quantitative colleagues and regulators.

- Highly organised, good planner, tracker and chaser with ability to engage experts to deliver.

- Ability to produce high quality, accurate work, under pressure and to tight deadlines.

- Willingness to question and challenge the way things are done and to come up with alternative approaches.