DESIRED EXPERIENCE -
6 - 14 years of experience in quants and analytics for Market and Liquidity Risk Management in Private Sector Banks/Foreign banks/Public Sector banks / Consulting firms.
Candidate shall possess comprehensive understanding of Market Risk / Liquidity Risk model creation/validation, Understanding of treasury products valuation methodologies / Sensitivities/ VaR, Statistical tools, behavioral analysis, etc.
Candidate should also possess working knowledge of latest prevailing regulatory guidelines.
Responsibility Areas
- Initial Model Validation
- Regular model validation per calendar of review
- Model framework review and documentation
- Back testing of Model and improvisation /issue remediation
- New model Framework creation in line with Regulatory guidelines and best industry practices.
- Strong understanding of the Treasury products valuation and risk measurement and ability to validate it through excel sheets / Python, etc.
- Ability to price Vanilla as well as structured products through excel spreadsheets or software's such as Python, R studio, etc.
- Ability to create new models from white papers.
- End to end model creation and validation for Liquidity risk models.
- Understanding of the exposure computation mechanism and deployment of best statistical methods for PFE computation.
- Strong hold on basic as well as advanced statistical concepts and their practical application in valuation and risk measurement.
- Understanding of PFE computation basis statistical techniques and its constant refinement basis the underlying movement of Market data.
- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.
- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.
- Defining stress scenarios and stress testing methodologies
- Understanding and implementing advanced analysis like CVA/DVA, PFE, SIMM, FRTB etc.
- P&L attribution analysis based on first and second order sensitivities and underlying market movements
- In depth understanding of advanced structured products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its risk and valuation.
- Shall have granular understating of latest regulatory developments in market risk and liquidity risk domain including FRTB, SIMM, NSFR and IND-AS.
- Supporting creation of models, maintenance and execution of risk model validation processes
- Providing input into ongoing development and refinement of risk model monitoring, validation, reporting frameworks and methodologies.
- Oversight of ongoing risk model monitoring and reporting;
- Ongoing management and maintenance of the Risk Models Inventory
- Understanding of Liquidity standards prescribed under Basel III
- Ability to create new models basis the organizational requirement.
- Periodic review and enhancement in the risk models.
- Periodic back-testing of behavioral analysis undertaken.
- Putting up the results of the model validation to higher authorities/ Committees.
- Implementation of Interest Rate Risk in Banking Book models.
- Documentation of Models for Market and Liquidity Risk.
SKILL SET
Educational / Professional Qualification MSC in Mathematics/Statistics, Graduate from IIT/NITIE /ISI / NIBM, MBA, CA.
Risk Management qualification like FRM / PRM / CFA will be preferred.
Technical Knowledge
- Strong analytical, numerical research and problem solving skills.
- Knowledge of working on Software's such as Python, R Studio, SAS, SQL, Power BI, etc.
- Strong analytical and problem solving skills.
- Proficient with MS Excel, Excel Macro
- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.
- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality
- Knowledge of financial products and/or quantitative modelling in the Banking industry.
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