Lead Analyst - FRTB-SA

Role Responsibilities:

- Provide cross-asset quantitative testing and validation of sensitivities and capital numbers as per FRTB-SA rules in various regulatory jurisdictions, including Quantitative Impact Studies (QIS), benchmark portfolio analysis and what-if analyses.

- Daily analysis and sign-off on key FRTB capital metrics (VaR, SVaR and IRC, SBM, DRC, RRAO) for the portfolio

- Ensure accurate risk capture, in conjunction with reporting, IT and market data teams

- Understand and analyze movements in key risks / sensitivities and provide commentary where necessary

- Calculate risk measures manually and highlight key gaps.

- Daily analysis of limits and flags utilisations, and highlighting any trends not in line with risk appetite

- Communicate with other teams in the firm and leveraging on their knowledge of the FRTB process to produce deliverables of the highest standard.

- Ensure testing is coordinated with the other stakeholder groups. Present the results to internal governance forums and to the senior management.

- Be involved in the design of test use cases and hands on engagement in their execution as required

Experience / Competencies:

- Relevant experience in financial markets/market risk with good knowledge of key risk metrics and testing approaches.

- Prior experience in the testing of FRTB will be highly advantageous.

- Good presentation and communication skills.

- Proven track record in project delivery in technical trading risk areas.

- Proven ability to interface and build relationships with diverse groups and team members.

- SQL skills would be needed.

- Any Python or scripting knowledge would be beneficial but not critical.

Education:

- Bachelor's/University degree, Master's degree preferred

Location : Mumbai, Maharashtra, India

Tags : FRTB-SA, Business-analysis, market-risk, data-analytics

Years of Experience : 8 to 12

Mandatory Skills : Market Risk, FRTB SA,

Skills To Be Evaluated On : FRTB-Sa, Business-Analysis, Data-Analytics, Risk-reconcilliation, Market-risk