Market Risk Specialist - Risk Management Consultancy

Now Hiring : Market Risk Specialists (Junior through AVP Levels)

Client : Risk Management Consultancy (MNC)

Locations : India (Mumbai, Bangalore)

Salary Increase : Up to 30% uplift on current CTC, based on skill- set alignment.

Position Overview :

1. Roles Available: Market Risk Analyst (Entry), Market Risk Associate (Mid), Senior Market Risk Professional, AVP - Market Risk

2. Experience: 2-10+ years (depending on level)

3. Education: Master's in Finance, Quantitative Finance, Mathematics, or Statistics

4. Certifications: FRM/CFA optional

5. Compensation: - 20 LPA- 60 LPA (commensurate with experience)

Required Experience:

1. 2+ years (Junior) | 5+ years (Senior/AVP) implementing Market Risk frameworks, including both FRTB IMA and SA

2. Hands-on CVA, DVA, FVA modelling and XVA analytics

3. Practical knowledge of the SA-CVA standardized approach under Basel III/III.1

4. Expertise in P&L attribution, backtesting, VaR/SVaR, and stress-testing under FRTB

5. Familiarity with regulatory reporting obligations

Key Responsibilities:

1. Lead development and deployment of FRTB models (IMA & SA) and XVA solutions (CVA, DVA, FVA)

2. Perform daily risk measurements (VaR, ES), backtesting, and P&L attribution

3. Calculate regulatory capital for SA-CVA, default CCR, and related counterparty exposures

4. Validate model outputs, document findings, and create SOPs for streamlined risk operations

5. Coach and mentor junior team members, promoting knowledge sharing

6. Liaise with internal teams and clients on risk metrics, regulatory updates, and mitigation plans

Technical & Functional Competencies:

7. Quantitative Modelling: Monte Carlo simulation, PDE techniques for exposure profiling

8. Programming: Python, C++/Java, MATLAB/R; SQL for data extraction and pipeline development

9. Risk Platforms: Murex, Calypso, Front Arena, Numerix, or proprietary XVA systems

10. Data Analysis: Pandas, NumPy, or SAS for processing large datasets

11. Regulatory Frameworks: Basel III/III.1, BCBS 239, IFRS 13 for valuation adjustments

12. Soft Skills: Analytical problem-solving, effective communication, stakeholder engagement