Consultant/Assistant Manager - Market Risk - FRTB

Job location: [{"@type":"Place","address":{"@type":"PostalAddress","addressLocality":"Mumbai","addressCountry":"IN"}}] Work arrangement: Employment type: FULL_TIME Salary: "" Experience requirements: {"monthsOfExperience":24,"educational":{"credentialCategory":"bachelor degree"}} Education requirements: "" 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.