Market Risk

2 days ago

Mumbai, India Eleprof Full time

**ROLE & RESPONSIBILITIES-**

Seniors are typically project team members who will be involved in working for any one of the following areas:

- Understanding on Greeks, risk calculation, VaR, Expected shortfall, Back testing of VaR would be preferable, Experience in policies, procedures and regulatory reporting requirements in Treasury and Market Risk areas will be added advantage
- Seniors may play the role of team leader on some engagements with 1-3 team members reporting to them for the project. In such cases seniors shall have responsibility of reviewing the work done (Deliverables) by the team members
- Interact with the client representatives for the ongoing requirements of the project
- Consistently deliver quality client services and take charge of the project area assigned to him/her
- Monitor progress as per the goals on personal and professional areas, manage risk and verify key stakeholders are kept informed about progress and expected outcomes
- Demonstrate in-depth technical capabilities and professional knowledge. Demonstrate ability to assimilate to new knowledge
- Possess good business acumen. Remain current on new developments in advisory services capabilities and industry knowledge
- The job would require travel to client locations anywhere within India and abroad

**THE INDIVIDUAL**
- Knowledge of treasury products (Forex, Derivative, Fixed income and Money Market) with respect to Valuation and Pricing is a must,
- Experience of model validation/ Model development for treasury products and sound understanding of financial modeling and econometrics with respect to valuation and pricing,
- A sound understanding of Greeks, Risk calculation, VaR, Expected shortfall, Back testing of VaR will be preferable, Exposure to treasury IT systems will be preferred (e.g. Murex, Summit, Kondor Plus, Sungard, Calypso, Numerix etc.)
- Should have prior experience in risk related areas, viz., market and treasury risks
- Any experience of working on regulatory reforms like FRTB, IBOR, SA-CCR, SIMM would be added Advantage
- Programming skills in VBA, Python, SQL will be good addition to the profile
- Should have strong communication skills with client facing experience
- Strong analytical and problem-solving skills. Possess strong data analytics skills and knowledge of advanced data analytical tools will be an advantage
- Have the ability to work under pressure - stringent deadlines and tough client conditions which may demand extended working hours. Ability to work well in teams

**QUALIFICATION**
- Postgraduates with 2-4 years of experience in banks, rating Agencies, consulting firms, corporate treasury, software companies
- People with CFA/ FRM degrees will be preferred
- Knowledge of Treasury Risk management system (Murex, Calypso, Numerix,) and language (Python, SQL) will carry additional weightages

**Salary**: ₹1,000,000.00 - ₹2,500,000.00 per year

Schedule:

- Day shift

Application Question(s):

- Are you willing to relocate to Mumbai?
- Do you have hands on experience on Treasury products like - Forex, Derivative, Fixed income and Money Market?
- Do you have understanding of Greeks, Risk calculation, VaR, Expected shortfall, Back testing of VaR?
- Do you have Exposure to treasury IT systems like - Murex, Summit, Kondor Plus, Sungard, Calypso, Numerix?
- Do you have hands on experience on regulatory reforms like FRTB, IBOR, SA-CCR, SIMM?

**Experience**:

- total work: 2 years (required)

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