AVP - Market Risk - BFS

- Ensuring daily signoff of risk, stress, and VaR/SVaR figures, to ensure timely and accurate market risk capture and risk reporting

- Providing accurate and timely production of Primary and Secondary Stress outputs, as well as the investigation of changes in the market risk that feed into the process

- Daily monitoring of exposures, and utilization against limits, as well as additional ad-hoc analysis, e.g. P&L arising from market moves, escalation of overages as appropriate

- Reviewing VaR and non-VaR limits, as well as scenarios shocks, on a periodic basis

- Supporting the senior risk managers identifying and aggregating the headline risks across the businesses; writing weekly commentary of associated risks in the context of macro events

- Processing and production of the monthly Risk Not in VaR capitalization figures for the Macro businesses

- Ensuring full risk capture and completeness, both on a procedural (book and mapping) basis, as well as a risk factor (e.g. crosses, higher orders) basis

- Maintaining, improving, and creating risk reports for both informational and supervisory purpose

- Communicating changes in risk profile to senior management formally via exposure and limit reports/Market Risk Review meetings and informally whenever significant risk positions arise.

- Be a part of the team that drives strategic re-platforming for Macro across regions (one risk and Dashboard), Key projects like Libor transition, FRTB inputs for SA and IMA

- Handle Top-Risks and market commentaries on rotation with Global Risk Managers

- Hierarchy and book management within Macro

- Handling enquiries and ad hoc requests from regulators or senior management

What we're looking for:

- Motivated self-starter, able to operate from day one with minimal supervision essential

- Ability to handle multiple priorities and operate autonomously whilst still being able to escalate appropriately

- Proficiency in Excel absolutely required. Must have ability to evaluate basic Greek sensitivities

- Ability to propose, create, and deploy views and appropriate cuts of risks, including creation of new metrics or scenarios, in order to visualize and subsequently summaries risk for management

- Educational background in a quantitative discipline, eg Risk, Finance, Business

- CFA Level 2 candidate or charter and/or FRM certification

- Sound knowledge of derivative markets, products and pricing

- Analytical and IT skills are required (Excel/VBA) to build tools that will help in carrying out the responsibilities in this role.

Skills that will help you in the role:

Excellent interpersonal skills, with confidence to follow up with multiple upstream and downstream teams

Technology proficiency in any of these languages: Python, SQL, VBA, C, C++, Java

Strong organizational and detailed documentation skills

Self-motivated, takes ownership of responsibilities assigned to him/her

Ability to communicate effectively in writing and verbally

Ability to work and collaborate in a team

Prior experience in market risk reporting or management would be preferred

Where will you be working? Mumbai