Credit/Market Risk - Investment Banking

Job Opening with Leading Investment Bank based out of Mumbai.

Role and Responsibilities:

- Impact analysis for different risk measures (such as VaR, ERC and sensitivities) due to change in market data set.

- Implementation of new risk methodologies/ risk classes and impact analysis w.r.t the change in time series

- Perform analysis using the VaR engine (MaRS) to quantify impacts of versioned updates to the market data set and project releases

- Understand different VaR models and extreme move calculations to analyse the impact of updates to market dataset.

- Preparation of different management reports showing trend analysis on VaR movement due to change in market data.

- Analyse quality and suitability of existing source data, mappings, Instrument Type categorisations and associated Rules (including benching decisions)

- Liaise with source data providers, stakeholders as necessary to ensure continued provision of quality data, and arrange support for new market data

- Liaise with London counterparts to identify work items and analysis work required

Expected background

Qualifications

- Masters degree in the field of mathematics or finance / accounting or engineering

- Preferable to have additional certification courses like FRM / PRM.

Experience

- Minimum 1-7 years experience in the field of Credit / Market risk. (Preferably in the banking sector.)

- Working knowledge of statistical and time-series analysis, econometric analysis is an added advantage

- Understanding of historical simulation VaR and related variants using exponentially weighted moving average.

- Understanding of different asset classes, risk classes and risk types and market data set.

- Experience in preparation of regulatory reports shall be an added advantage.

Please share your CV to ramisha306@gmail.com