Associate - Market Risk Analysis - Quant Risk

Associate - Market Risk Analysis - Quant Risk

Overview :

The Methodologies group has the mandate to develop / enhance risk models in line with internal and regulatory requirements and to backtest VaR against Hypo and clean PnL. The methodologies side of the group has the critical task of owning all the risk models that are used for computing capital adequacy for the whole firm, and the bactesting group of adjusting and updating Hypo PnL using adjustments provided by various different systems.

Qualification :

- Masters in Financial Engineering (Background in Stochastic / Mathematics) OR IIT Dual Degree (Integrated) - Score min 7.5

Must have experience :

- Strong understanding of financial products i.e. derivatives

- Market Risk experience

- Economic Capital experience

- VAR Calculation etc

Role & Responsibilities of the position in brief :

- Development of proto-type models

- Liaise with Model Validation on model risk issues

- Implementation of regulatory requirements within the existing platform

- Estimation of parameters in model usage

- Testing and Documentation

- Partnership with technology to translate quantitative requirements into the risk systems

Key Skills :

- Knowledge of Derivatives

- Masters in a quantitative discipline (Financial Engineering, Mathematics, Statistics, Physics, Econometric) OR IIT Dual degree (Finance) with relevant work experience

- Expert level knowledge on MS-Excel, VBA