Director - Market Risk/Quant - Consulting Firm

About the client : A leading consulting company

Job Description :

- Lead a team and develop and validate market risk methodologies and frameworks including validation of derivative pricing models for conceptual soundness and performance.

- The role involves business analysis and system implementation and testing.

- Basel implementation along with latest regulatory developments around Incremental Risk Charge (IRC), Expected Shortfall, Credit value adjustment (CVA), Potential Future Exposures (PFE), Counterparty Credit Risk (CCR), etc.

- Perform valuation and market risk measurement (risk sensitivities, VaR, stress testing, counterparty credit risk etc.) modelling for various treasury products like bonds, derivatives, options and other exotic products

Skill Sets :

- 10 + years of experience in the Financial markets / market risk function with a degree in MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premium institutes required.

- Knowledge of quantitative finance concepts such as stochastic calculus, pricing theory as well as statistical modelling concepts.

- Understanding of the derivative markets and quantitative training and strong problem solving as well computer skills (Excel, VBA) are necessary.

- Good understanding of Global regulatory environment

- Experience in managing large projects with respect to market risk / treasury and having managed a large team

Location : Mumbai