Senior Associate/Manager - Market Risk/Stress Testing/Basel - Big4

Job Description :

- Desired candidate must have relevant experience in in statistical modeling, quantitative research, stochastic calculus, market risk management, or related field

- Independently build/validate and manage quantitative market risk analytical models

- Strong experience/knowledge in at least some of the following modeling areas (in quant space)

a. Pricing and valuation models- Derivatives (across one or more asset classes)

b. Market Risk Scenarios and Stress Testing

c. Interest Rate Curve Generation

d. Worked on Market Risk Models like to develop/review calculation of VaR(Historical, Parametric and Monte Carlo), RNiV, CCAR, IRC Model Validation/ development and present value for various type of instruments using any statistical tool (SAS/R/ Python)

- Strong experience/knowledge in at least some of the following business areas :

a. Good knowledge of market risk concepts: Risk Factor, VAR, Earning at Risk, cash flow at risk, ETL, PV01, Exotics, volatility measures, CIR model, Hull & White model, Monte Carlo simulation, Capital calculations etc.

b. Leveraging experiential know-how of a range of financial assets like Equity, Interest Rates, Forex etc.

c. Strong knowledge/experience of market derivatives, Credit derivatives, OTC products, Securitization products etc.

d. Knowledge of global risk areas like Libor transition, BASEL II/III, FRTB, SR-11/7 around data sufficiency, modeling methods, industry standards etc.

- Keep up to date with industry and academic model research.

- Assist clients to design and implement strategic and functional changes across risk management, treasury, front office, middle office and back office activities with a focus on risk and valuation processes, regulatory compliance, analytics, strategy, and organizational structure.

- Programming and Algorithms: R, Python, Sas, VBA etc.

- Experience with various tools like Murex, Fincad, Reuters, QRM, Bloomberg, Algoetc. is a plus.

Non-functional skills :

- Understand market trends and demands in the financial services sector and issues faced by clients by staying abreast of current business and industry trends relevant to the client's business

- Excellent oral and written communication skills

- Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data

- Process orientation with strong technical skills and attention to detail

- Demonstrate deep technical capabilities and industry knowledge of financial product

- Willingness to travel to meet client needs

Preferred background :

- Desired candidate must have degree in a Finance, Economics, Statistics, Engineering + MBA;

- Advanced degree a plus; with experience in Counterparty and Market Risk Analytics & Model development.

- CQF, FRM, CFA, CPA certification a plus