Risk Analyst

2 weeks ago

Mumbai, India Abans Finance Full time

Role & responsibilities

  • Identify, assess, and mitigate risks across a diverse range of asset classes, including Equities, Futures & Options (F&O), Commodities, Currencies, and Bonds, utilizing advanced risk management techniques.
  • Utilize Derivative Greeks to analyze potential impacts on the portfolio and implement strategic adjustments to manage exposure effectively.
  • Develop and maintain Value at Risk (VaR) models to quantify potential losses within the portfolio under normal market conditions.
  • Create and produce comprehensive Open Gap reports to monitor and manage risk exposures across various financial instruments.
  • Calculate and analyze Duration and DV01 to assess interest rate risk and ensure alignment with the company's overall risk management strategy.
  • Generate and evaluate the company's Risk Adjusted Treasury Report to provide insights into risk-adjusted performance and alignment with corporate objectives.
  • Develop a robust Beta Model for Open Gap in Equity F&O, Commodities, and FX, enabling effective hedging strategies and achieving a significant reduction of 88% in market exposure.
  • Conduct extensive backtesting of trade strategies to ensure robustness, accuracy, and alignment with market conditions and risk parameters.
  • Re-price active structured products under various market scenarios to ensure competitiveness and optimal risk-return profiles.
  • Collaborate with cross-functional teams to communicate risk exposures and develop strategies that align with the companys risk appetite and investment objectives.

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