Market Risk Analyst

9 hours ago


Mumbai, Maharashtra, India beBeeRisk Full time ₹ 75,00,000 - ₹ 1,74,00,000
Market Risk Analyst - FRTB

Job Description:

  • This is a critical role in our organization, requiring a strong background in quantitative disciplines.

Key Responsibilities:

  1. Collaborate with the risk methodologies group on projects related to regulatory capital models, ensuring compliance with Basel and FRTB regulations.
  2. Conduct firm-wide and desk-level analysis to assess the impact of new regulations, supporting quantitative impact studies (QIS).
  3. Develop and maintain robust risk assessment models, including SBA, RRAO, SA DRC, risk factor eligibility tests, NMRF SES, and IMA ESF methodologies.
  4. Serve as a subject matter expert for risk models, providing support to model users and serving as a key point of contact for such models.
  5. Design and implement prototype models focusing on market risk VaR, ensuring accuracy and reliability.
  6. Integrate risk models into strategic risk systems, guaranteeing compliance with regulatory requirements.
  7. Develop tools for RWA optimization, deal analysis, RWA driver analysis, VaR, RNIV, Add-on, PnL Adjustment, and backtesting using Python.
  8. Create FRTB-based What-If prototype tools in collaboration with business and risk managers for portfolio and hedge impact analysis.
  9. Participate in periodic model review and calibration of model parameters, ensuring model effectiveness.
  10. Provide necessary support during validation of VaR models by the Model Validation group/Audit.
  11. Respond to stakeholder requests on RWA optimization and What-If analysis.


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