Consultant/Sr Consultant - Market Risk Mgmt

Consultant/Sr Consultant

RESPONSIBILITIES

- 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

- 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

- 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

- Assist in development of new solutions for the firm to provide to clients based on market requirements and service line strategy

MANDATORY REQUIREMENTS

- Candidates should have at least 2-3 years experience in the financial markets.

- 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).

- The candidate should have thorough understanding of market risk related regulatory guidelines from RBI and Basel Committee on Banking Supervision (BCBS)

- 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.

- Strong quantitative skills: Should be very strong in mathematics, good understanding of stochastic calculus, binomial / trinomial tree building techniques, Monte Carlo simulation, finite difference / element methods for solving PDEs independently etc.

- Ability to develop functional quantitative models based on the given inputs.

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

Contact - suparna@ikyaglobal.com