Cons/Sr Cons - Market Risk/Quant

Primary areas of responsibility: Market Risk (‘MR’) and Quantitative Advisory Services (‘QAS’)

A.1 Market Risk Management

- Assist clients in enhancing their market risk management framework to include leading practices

- Provide clients with functional inputs pertaining to the Internal Models Approach (‘IMA’) under Basel II, including qualitative and quantitative validation

- Develop business requirement specification document based on client discussions and market risk processes and translate the same into RFP for circulating to vendors

A.2 Quantitative Advisory Services

- Valuation of vanilla / complex financial derivatives based on available benchmark models

- Validation and development of valuation models for non-standardized derivative products

- Quantification of market risk as per the standardized and advanced approaches

A.3 System implementation assistance to clients and vendors

- Provide end to end support to clients (banks and financial institutions) and vendors during the system
implementation, providing functional inputs as and when required

- Assist vendors in implementation of the system through business requirement analysis and preparation of FRS & SRS document on the basis of analysis conducted

- Assist vendors in data mapping and validation as well as in conducting User Acceptance Testing (‘UAT’) for the system

Mandatory requirements:

Market Risk

- Candidates should have at least 2-3 years experience in the financial markets. They should have experience of working in a bank’s treasury middle office or market risk function. They can also be from the financial risk consulting space.

- Candidate should have knowledge and understanding of the products traded in the Indian financial markets and their valuation methodologies

- Understanding of quantification of market risk (VaR, Stress Testing etc).

- Experience of working or implementation of a market risk management system will be a plus.

- The candidate should have experience in working on Basel II market risk implementation project

QAS

- Candidate should have thorough understanding of financial derivatives for Interest Rate and FX asset
classes.

- Should have knowledge of basic valuation techniques for interest rate swaps, FX options and forwards.

- Ability to analyze payoffs associated with complex options for interest rate, FX and Commodity risks

- Should have strong programming skills (C++/Java, Excel VBA, MATLAB).

- Understanding of quantification of market risk (VaR, Stress Testing etc).

Contact - suparna@ikyaglobal.com