Sr Consultant - Market Risk - Big4

Sr Consultant Market Risk in a Leading Big-4

Location : Mumbai

JD:

Key areas of responsibility

Primary areas of responsibility: Market Risk (MR) and Quantitative Advisory Services (QAS )

Market Risk Management:

- Assist clients in enhancing their market risk management framework to include leading practices

- Provide clients with functional inputs pertaining to the Internal Models Approach (IMA) under Basel II, including qualitative and quantitative validation

- Develop business requirement specification document based on client discussions and market risk processes and translate the same into RFP for circulating to vendors

- Assist clients in system evaluation and selection (as detailed in Section A.3 below) and system implementation (as detailed in Section A.3 below)

Quantitative Advisory Services :

- Valuation of vanilla / complex financial derivatives based on available benchmark models

- Validation and development of valuation models for non-standardized derivative products

- Quantification of market risk as per the standardized and advanced approaches

- Holding direct client interactions to adequately understand their end requirement and accordingly proposing, developing and delivering the best possible solution

Vendor evaluation and selection for various systems (including Market risk and/or treasury systems):

- Develop evaluation criteria for vendors evaluation

- Assist clients in conducting vendor demonstrations and final selection of vendors

System implementation assistance to clients and vendors:

- Provide end to end support to clients (banks and financial institutions) and vendors during the system implementation, providing functional inputs as and when required

- Assist vendors in implementation of the system through business requirement analysis and preparation of FRS & SRS document on the basis of analysis conducted

- Assist vendors in data mapping and validation as well as in conducting User Acceptance Testing (UAT) for the system

- Provide trainings and knowledge transfer sessions to users on an on-going basis

Additional (desirable) areas of responsibility:

Market leadership:

- Assist in development of new solutions for the firm to provide to clients based on market requirements and service line strategy

- Develop Thought Leadership articles around solutions to create market awareness and visibility

- Participate in organizing symposiums, conferences etc. to create better brand and solution visibility

Professional experience Mandatory requirements:

Market Risk:

- Candidates should have at least 2-3 years experience in the financial markets. They should have experience of working in a bank's treasury middle office or market risk function. They can also be from the financial risk consulting space.

- Candidate should have knowledge and understanding of the products traded in the Indian financial markets and their valuation methodologies

- Understanding of quantification of market risk (VaR, Stress Testing etc).

- Experience of working or implementation of a market risk management system will be a plus.

- The candidate should have experience in working on Basel II market risk implementation project

- The candidate should have thorough understanding of market risk related regulatory guidelines from RBI and Basel Committee on Banking Supervision (BCBS)

- Knowledge of market risk management methodologies and knowledge of Internal Models Approach (- IMA- ) under Basel II

- Experience of conducting qualitative and quantitative validation of the market risk framework for banks to assess IMA compliance as mandated by RBI

QAS

- Candidate should have thorough understanding of financial derivatives for Interest Rate and FX asset classes. Should have knowledge of basic valuation techniques for interest rate swaps, FX options and forwards.

- Ability to analyze payoffs associated with complex options for interest rate, FX and Commodity risks

- Strong quantitative skills: Should be very strong in mathematics, good understanding of stochastic calculus, binomial / trinomial tree building techniques, Monte Carlo simulation, finite difference / element methods for solving PDEs independently etc.

- Ability to develop functional quantitative models based on the given inputs.

- Should have strong programming skills (C++/Java, Excel VBA, MATLAB).

- Understanding of quantification of market risk (VaR, Stress Testing etc).

Desirable requirements:

- Moderate understanding of credit risk and operational risk and Basel II related aspects for these risks

- Experience of Treasury operations

Academic 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

- Quantitative training and strong problem solving as well computer skills (C++, Java, and MATLAB) are necessary.

Characteristics and competencies - Ability to work comfortably at the highest levels of client organizations and interacting closely with high level executives in a range of environments

- Comfortable functioning in a broadly positioned role in a highly diverse service lines working across industry verticals. Must possess an impressive executive demeanor, a team oriented and collaborative approach, and excellent presentation skills, including strong oral and writing capabilities

- Committed, hard working individuals who are willing to spend long hours on research

- Must possess demonstrated entrepreneurial instinct

- The individual must possess and demonstrate high integrity and credibility as perceived by all those with whom s/he will work

- Strong intellect coupled with proficient commercial instincts

- Diplomatic, flexible and have a good team approach.

Interested Candidate Please forward Your CV at the Earliest with Current And Expected CTC With notice Period

Shraddha Mehta