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.