Analyst - Global Risk/Market Risk FRTB (1-4 yrs)

1 month ago

Mumbai, India iimjobs Full time

Job Location - Mumbai Powai

Corporate Title - Analyst

Experience - 1- 4 years

Role & Responsibilities:

The role involves identifying issues in the risk valuation under the Global Rates products desk as per the IMA FRTB norms. The key objective is to identity, analyze, and resolve the discrepancy between Risk Theoretical P&L and Front Office Hypo P&L so that the firm can pass the regulatory back-testing requirements to deploy the IMA FRTB model in 2025.

The role entails collaborating with Global cross-functional teams such as

- Risk Methodology team and Product Level Risk Managers to identify issues/limitations/solutions in the valuation of different products

- IT Team to identify system limitations and improvements

- Market Risk Infrastructure Team to deploy the necessary changes in the risk valuation

Mandatory Skills:
- Good knowledge of Financial Products (especially derivatives), Financial Markets, Economics

- Understanding of risk sensitivities, VaR and economic capital

- Background in a numerical discipline: engineering; math; science; etc.

- Strong analytical, quantitative and technical abilities

- Strong communication skills (oral and written)

Technical Skills:

- Certification in CFA/FRM

- Python for Finance

- Knowledge of Power BI, Alteryx

- Advanced Excel

- Good knowledge of FRTB regulations

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