Consultant/Assistant Manager – Market Risk – FRTB

Designation: Market Risk (FRTB) Consultant/AM

Experience: 2 – 6 years

Location: Mumbai

Roles And Responsibilities:

– Develop and/or validate market risk and pricing models, including FRTB (IMA), Value-at-Risk (VaR), Stressed VaR (SVaR), Risk Not in VaR (RNIV), P2A, Counterparty Risk Exposure models, and XVA and stress testing models.

– Perform end-to-end model validation, including benchmarking, outcome analysis, and impact assessment.

– Prepare high-quality model validation reports, clearly documenting assumptions, limitations, and identified weaknesses.

– Ensure all work is well-documented, concise, and reproducible.

– Track, manage, and close model-related findings effectively.

– Conduct model risk assessments, including robustness analysis and identification of model limitations.

– Provide subject matter expertise (SME) on models and model risk to global teams.

– Work on derivative pricing and valuation models, covering both plain vanilla and exotic instruments.

– Ensure adherence to model risk management guidelines, such as SR 11-7 or equivalent regulatory frameworks.

Required Skills & Expertise:

– Strong experience in Market Risk and FRTB modeling or model validation/development.

Qualifications: CA, MBA Finance, PGD (Preferably Finance).

In-depth knowledge of:

– Financial risk management practices.

– Regulatory expectations and model risk governance.

– Proficiency in Python and working knowledge of SQL.

– Strong documentation and reporting skills.

– Advanced proficiency in Microsoft Word, Excel, PowerPoint, and LaTeX.

Mandatory Skills:

– Market Risk, Pricing Models, Model Validation, Python, Counterparty, Credit Risk, Risk Indicators, VAR, Stress Testing.

Additional Skills:

– Communication Skills, Documentation Skills.