Quantitative Risk Analyst

11 hours ago


Mumbai, Maharashtra, India Agam Capital Full time

Job Title
:
Quantitative Risk Analyst

Job Location
:
Vikhroli, Mumbai

Company
:
Agam Capital

Education
: Engineering Graduate from IIT (Top 10 of 23 campus) / BITS Pilani (all campus) / ISI (all campus) / IISc / IISERs along with CFA/FRM L1 or relevant experience / coursework.

Experience
: Strictly preferred between (1-2) years of work experience.

Mandatory Skills:
Advanced Excel, SQL, Python, Critical thinking & Problem Solving, Stakeholder management, Mathematics (Algebra & Calculus)

Role & Responsibilities
:

Quantify portfolio risk metrics & investment compliance & monitor Market movers, credit migration, downgrades & spread shifts
Advance stress testing and scenario analysis (rate shocks, LCR, GFC shocks, collateral erosion scenarios), and track collateral adequacy
Partner with Investment team, Actuarial, and compliance team for upgrading risk methodology and escalate policy breaches or risk limit exceptions
Support asset-liability management

(ALM)
by monitoring duration gaps, PV01 ladders, stress scenarios, curve risk and support repositioning strategies

Develop

(ERM)
reports for management, highlighting breaches, triggers, key vulnerabilities & exposures, compliance status, and ALM sensitivities and Escalate and document policy breaches, hedge program deviations, and liquidity concerns.



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