Market Risk Management Role - FRTB

Introduction :

The role will focus on FRTB (Fundamental Review of the Trading Book), a key regulatory change for Market Risk. The role will involve the review, analysis, and communication of the of the capital impact to key stakeholders across the bank. The successful candidate is expected to continually drive improvement in the FRTB programme.

What will you be doing ?

- Drive improvement in the bank's FRTB processes and results

- Support FRTB QIS processes and review results to be submitted externally

- Review and analyse FRTB results and communicate outputs to various stakeholder

- Produce FRTB impact analysis at desk and trade level for senior Front Office stakeholders

- Assist in designing, implementation and maintenance of relevant risk reports for senior management

- Present data from portfolio point of view to brief senior business and risk managers

- Assist in analysing top-level risk measures (Stress results, VaR etc) for underlying risk drivers for inclusion in senior management MI on an ongoing basis

- Monitor and analyse trading portfolios and identify material risk across the portfolio

What we're looking for:

- Educational background in a quantitative discipline, e.g. Risk, Finance, Business, Engineering.

- Analytical and IT skills are required (Excel/VBA) to build tools that will help in carrying out the responsibilities in this role.

- Ability to write clearly and persuasively

- Self-motivated, takes ownership of responsibilities assigned to him/her

- Ability to work well in a team

- co-ordinate work with various teams to deliver results

- Strong organizational skills

- Ability to get things done

- Attention to detail

- Positive attitude

Skills that will help you in the role:

- Knowledge of FRTB

- Knowledge of market risk

- Knowledge of python/R

Where will you be working?

Mumbai