Senior Market Risk Specialist

Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.Explanation / Substantiation of Daily Profit and Loss by attributing the Profit and Loss derived from different Greeks (Delta, Gamma, Vega, Rate, Dividend, Repo etc.) and new dealsAnalysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breachesCo-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the processClose contact with Traders to explain the daily P&L and provide swift service traders to adhoc requestHaving good analytical skills to perform manual valuation of the Products for the respective asset classes
Market Risk Responsibilities
Analysis, Validation, and commentary of Value at Risk (VaR), Stressed Value at Risk (SVaR), Stress Test and Risk Sensitivities (Equity Delta, Interest Rate Delta, Basis Delta, FX Delta, Equity Vega, Interest Rate Vega, etc) for instruments exposed to Market Risk on Equity / Fixed Income, Equity / Fixed Income Derivative and Hybrid products.Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.Level and Move analysis of the market risk metrics and sensitivities with proper justification.Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.
Having good analytical skills to perform manual valuation of the Products for the respective asset classes.
# Co-ordinate with Front Office (FO), Technology teams and other internal stakeholders when required during the validation process.
# Should work in tandem with onshore risk counterparts for onboarding new processes and ad-hoc query resolution.
# Analysis, Validation, Commentary and Reporting of Daily Profit and Loss for Equity / Fixed Income, Equity / Fixed Income Derivatives and Hybrid Asset class.Explanation / Substantiation of Daily Profit and Loss by attributing the Profit and Loss derived from different Greeks (Delta, Gamma, Vega, Rate, Dividend, Repo etc.) and new dealsAnalysis of Validation, Commentary and Reporting of FRTB Risk Profit and Loss.Analysis and commentary of VaR (Value at Risk) Back Testing breaches. Suggesting steps to ensure reduction of VaR Back Testing breachesCo-ordinating with Accounting team to explain difference between Month End Accounting and Economic P&L.Create and maintain adequate documentation for the responsible process and implement appropriate controls and checks in the processClose contact with Traders to explain the daily P&L and provide swift service traders to adhoc requestHaving good analytical skills to perform manual valuation of the Products for the respective asset classes
Market Risk Responsibilities
Analysis, Validation, and commentary of Value at Risk (VaR), Stressed Value at Risk (SVaR), Stress Test and Risk Sensitivities (Equity Delta, Interest Rate Delta, Basis Delta, FX Delta, Equity Vega, Interest Rate Vega, etc) for instruments exposed to Market Risk on Equity / Fixed Income, Equity / Fixed Income Derivative and Hybrid products.Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.Level and Move analysis of the market risk metrics and sensitivities with proper justification.Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.
Having good analytical skills to perform manual valuation of the Products for the respective asset classes.
# Co-ordinate with Front Office (FO), Technology teams and other internal stakeholders when required during the validation process.
# Should work in tandem with onshore risk counterparts for onboarding new processes and ad-hoc query resolution.
# All qualified applicants receive consideration for employment without regard to race, color, religion, gender, gender identity or expression, sexual orientation, national origin, genetics, disability, age, or veteran status”

Business Insight
You should know that our employees can dedicate several days per year to solidarity actions during their working hours, including sponsoring people struggling with their orientation or professional integration, participating in the financial education of young apprentices, and sharing their skills with charities. We are committed to support accelerating our Group’s ESG strategy by implementing ESG principles in all our activities and policies. They are translated in our business activity (ESG assessment, reporting, project management or IT activities), our work environment and in our responsible practices for environment protection.

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