Job Views:  
12861
Applications:  122
Recruiter Actions:  29

Job Code

362502

AVP - Risk Analyst - Exposure Management Group - Investment Bank

10 - 15 Years.Mumbai
Posted 8 years ago
Posted 8 years ago

Vacancy Title: Risk Analyst - VP

Department Information

Department Name: Exposure Management Group

Business Description

The Exposure Management Group (EMG) is a core function within the Risk division and is responsible for analyzing pre-deal credit exposure for the whole spectrum of derivative products. EMG's mandate also includes defining clearing / Prime Brokerage margin methodologies, counterparty risk stress testing and calibration of the credit risk engine models.

Furthermore, EMG is significantly involved in initiatives to ensure compliance with existing and upcoming regulatory requirements related to counterparty risk.

The Risk Analyst will be working on the methodology, risk validation and governance around the calculation of initial margin for the uncleared derivatives portfolio along with the Stress Testing analysis for the bank. Along with colleagues in EMG they will work in collaboration with Market Risk Management, Market Risk Control and Risk Analytics & Instruments Validation teams with the objective to get regulatory approval for the uncleared margining framework (methodology, controls and governance).

Position Description

This role will comprise the following key responsibilities:

- Leading the team within EMG on the Uncleared Initial Margin project and Stress Testing to ensure regulatory and business requirements are met

- Liaising with other areas of the bank involved in the project, in particular Market Risk and Front Office

- Review and Validate Daily / Monthly Stress Test Reports to be used by senior EMG and CRM Analysts

- Performing methodology governance and validation (including backtesting)

- Establishing new governance procedures around the calculation of uncleared IM

- Documenting new processes and procedures relating to uncleared IM and Stress Testing

- Communicate updates and results to senior management within Risk and the Business

- Support in production of material to be distributed to regulators

- Quantitative risk analysis of existing derivative transactions on counterparty, portfolio and individual trade levels. This may involve working with existing spreadsheet tools or setting up customized tools which use the bank's internal pricing models

- Define reporting requirements in conjunction with other Risk teams and Front Office partners

- Participate in bank wide working groups and committees

- Perform investigation into a wide range of production issues as an individual or as part of a team

Job Requirements

Essential skills

- Strong mathematical and statistical background

- Good understanding of VaR concepts, valuation and margining approaches and methodologies

- Good knowledge of rates, FX, commodities, equities and credit business areas and products

- Understanding of risks both on trade and portfolio level

- Previous experience with margining approaches and methodologies (exchanges, central clearing counterparties - CCP)

- Good analytical skills, able to demonstrate flexibility regarding problem solving

- Ability to work in fast paced environment

- Advanced knowledge in MS Office (Excel, Access and VBA in particular)

- Open minded, able to share information, transfer knowledge and expertise to team members.

- Excellent communication, both written and oral

- Good team-working & team management skills

- Experience in use of Relational Databases and PL/SQL (Fundamentals)

- Comfortable working across different time zones.

Preferable skills:

- Knowledge of ISDA Standard Initial Margin Model (SIMM)

Education / Qualifications Requirements:

You will be:

- Educated to Engineering Degree or Equivalent.

- CFA/FRM is plus

- 6-8 Years- Experience

- Detail-orientated

- Team orientated and motivated

- Able to work on autonomous basis or as part of team

- Able to cope well under pressure and tight deadlines

- Willingness to challenge senior stakeholders if required

Language(s) Required: English

Salary Offered: upto 25 LPA

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Job Views:  
12861
Applications:  122
Recruiter Actions:  29

Job Code

362502

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