Team Lead - Market Risk Reporting - Financial Services

Team Lead - Market Risk Reporting

Shifts : General

Experience: 2 - 5 Years

Level : Team Lead

Responsibilities :

- Validate Input Data like risk sensitivities and Calculated Output data like VAR, ES, IRC, DRC, RRAO etc. using SA and IMA approaches by performing variance and impact analysis, understanding models and methodologies, portfolio analysis, market moves, reconciliation with finance data etc.

- Review and Validate material day-on-day changes in calculated risk measures (VAR, ES, IRC, DRC, RRAO etc.) via accurately attributing input data changes, market data changes in time series and risk computation methodology changes

- Provide accurate and relevant commentary to highlight driver(s) of material calculated risk measures (VAR, ES, IRC, DRC, RRAO etc.)

- Prepare and publish Market Risk reports to risk managers for review and approvals

- Contribute towards development and testing of tools in support of sourcing, aggregating, validating, and explaining market risk data and risk measures

- Contribute towards development and testing of reports using Qlik and other applications covering Trading Desks, Business Lines and Legal Entities

- Assist in capturing business requirements to improve front to back infrastructure in support of market risk measure production

- Assist in identifying, tracking and resolving data quality issues liaising with IT, QAT and other support teams.

Requirements :

- 2 - 5 years of proven experience in a financial services institution / consulting in a similar role is essential

- Basic understanding of Market Risk with control approach, good analytical skills, basic knowledge of various financial products / asset classes.

- Understanding of FRTB regulations will be a plus

- Basic understanding of financial Greeks and their relation to financial products and derivatives used in the calculation of various risk measures, market risk methodologies, VAR etc.

- Graduate in Finance/Statistics/Economics/Science / Mathematics

- Outstanding proficiency with Excel VBA, Python, Tableau, Qlik will be a plus