Market Risk Specialist

3 days ago

Mumbai, Maharashtra, India beBeeFinancial Full time ₹ 15,60,000 - ₹ 24,12,500
Market Risk Analyst - FRTB

The successful candidate will work closely with the Risk Methodologies Group on projects related to Regulatory capital models. This includes performing firm-wide and desk-level analysis to assess the impact of new regulations and supporting quantitative impact studies.

Mandatory qualifications include a strong Market Risk RWA modelling background, preferably in FRTB SA and IMA models. Proficiency in coding skills using Python is also required, along with a good understanding of mathematical concepts like probability, statistics, calculus, linear algebra, and financial products such as Bonds and Derivatives.

  • Work collaboratively with the Risk Methodologies Group to advance projects related to Regulatory capital models.
  • Perform comprehensive analysis at the firm and desk levels to evaluate the effect of new regulations and support quantitative impact studies.
  • Develop robust SBA, RRAO, SA DRC, risk factor eligibility test tools, NMRF SES, and IMA ESF methodologies to ensure FRTB SA & IMA models meet their stated objectives.
  • Act as an expert for risk models, including knowledge of FRTB guidelines, and provide assistance to model users (Risk managers) and serve as a key point of contact for such models.
  • Design and periodically update prototype models, giving special attention to market risk VaR models.
  • Implement risk models into strategic risk systems, including developing methodology, building prototypes, creating technical business requirement documents, conducting model testing, ensuring compliance with regulatory requirements, and liaising with model validation groups.
  • Construct strategic tools for RWA optimization, deal analysis, RWA driver analysis, VaR, RNIV, add-on, PnL adjustment, backtesting using Python to facilitate integration with FRTB implementation and offline calculation of risk numbers.
  • Develop FRTB-based What-If prototype tools in collaboration with Business/Risk Managers for new portfolio/hedge impact analysis.
  • Participate in regular reviews of models and calibration of model parameters.
  • Offer necessary support to teams during validation of VaR models by Model Validation Group/Audit, including any model changes on an ongoing basis.
  • Handle stakeholder requests (typically FO and Risk Managers) on RWA optimization and What-If analysis, which involves working with stakeholders across different time zones, running and explaining What-If scenarios, understanding capital allocation methodologies, preparing materials to explain results, presenting results to stakeholders, supporting tool development, and holding technical workshops to educate stakeholders on how FRTB SA and IMA models work.

Desirable qualifications include a strong Mathematical/Statistical background, actuaries (cleared at least 5 CT papers), FRM/PRM/CFA certification, experience with handling stakeholder requests, SQL/Excel skills, and Gitlab understanding.

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