Market Risk Modelling/Validation Role - Investment Bank

The job requirement would be with a multinational IB for Mumbai location.

The ideal candidate will have to meet the defined attributes for the role and display a high degree of energy, enthusiasm and passion for change including the ability to pro-actively engage in solution design and definition. The role involves primarily business analysis and system implementation and testing.

Requirements/Experience

- Experience in the financial markets / bank's treasury middle office / market risk function.

- Experience in performing 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

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

- Experience in developing and validating market risk methodologies and frameworks

- Experience in Basel 2, Basel 2.5 (IMA) and Basel 3 implementation and should be familiar with latest regulatory developments around Incremental Risk Charge (IRC), Expected Shortfall, Credit value adjustment (CVA), Potential Future Exposures (PFE), Counterparty Credit Risk (CCR), etc.

- Familiar with global regulatory requirements of PRA, FINMA, FINRA, SEC

- Experience in managing large projects with respect to market risk / treasury implementation and working in multi-dimensional teams involving various departments and system vendors

- Willingness to travel - both domestic as well as internationally.

Qualifications

- MBA or equivalent Master's degree in Finance, Statistics, Economics or Mathematics from premium institutes required. Graduates (B.Tech / B.E) with relevant experience can also be considered.

- Professional Certifications like the CFA and FRM will be an added plus

- Must possess analytical experience, a thorough understanding of the derivative markets, and experience in researching. Moreover, quantitative training and strong problem solving as well computer skills (Excel, VBA) are necessary.

- Excellent communications skills (both oral and written) and ability to lead large diverse team of functional and technical professionals

- Excellent project management skills

- Result oriented individual with a demonstrated record of accomplishments, strong client orientation, demonstrated commitment to business ethics, and self-development