Junior AVP - Market Risk - Analytics Firm

Position-Junior AVP Market Risk

Location-Gurgaon

Requirement-Need someone with model development experience into Market Risk

Responsibilities

- Work on developing quantitative and qualitative measurement framework.

- Identifying, assessing and monitoring interest rate risks related to banking book (IRRBB) business activities, such as (NII) and (EVE)

- Support the development of a well-controlled framework to manage QRM modeling for interest rate risk management and financial forecasting.

- Liaising with Treasury, business personnel and risk managers to ensure the appropriateness of the representation of interest rate risk

- Performing analyses of client's balance sheet and assessing the risk impact of any changes to its structure or composition

- Development and enhancement of Liquidity risk metrics, stress testing, Contingency funding plan, and collateral management

- Oversight and Implementation of global regulations such as Dodd-Frank, LCR, NSFR

- Development of risk appetite framework for interest rate risk relative to client's risk profile

- Work with quant modeling teams in delivering various analytical projects/ dedicated role

Required Background

Functional knowledge related to asset-liability management, interest rate risk, funding and liquidity risk, collateral management, behavioral modeling, stress testing and scenario analysis, maturity mismatch, prepayment option modeling, etc

Hands-on experience in building financial models such as value-at-risk, IRRBB, and earning-at-risk

Strong understanding of interest rate risk and financial products

- Understanding of broad stress testing risk regulatory for CCAR, PRA, EBA

- Strong problem solving and technical skills

- Programming skills: SAS, R, Matlab, SQL, VBA, Python

- Strong verbal and written communication skills

- Certifications such as CQF, FRM and CFA will be a plus