Senior Analyst - Market Risk/Credit Risk - Investment Bank

Looking for candidates with experience in Market Risk or Credit Risk. This role is with one of the global investment banks based in Mumbai . The role is that of a Sr. Analyst.

Below are some roles and responsibilities :

- Understanding Value at Risk (VaR) methodology across asset classes

- Perform a deep dive analysis and understand the impacts the new risk types/methodology changes would have on various Risk measures (RMVaR,SVaR,RegVaR,BTVaR) and RWA at various business levels.

- Monitoring of VaR, Incremental Risk charge, risk sensitivities for various business lines under Global Credit products cluster.Drilling down till transaction level to understand the moves and providing the commentary on the moves breaching the threshold limits

- Preparing the Risk based PnL from the Risk Sensitivities and the underlying market curve day on day moves(eg Interest rates, FX rates, CDS Spreads move etc)

- Producing reports for various regulators around the globe and for senior management. Identification and analysis of risk drivers and also capital computation for market risk.