Consultant/Assistant Manager - Market Risk

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 a ssessment.
- 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.