Sr Consultant/Manager/Sr Manager - Market Risk

One of the leading consulting firm is looking out to hire Market risk professionals with Quantitative risk background across levels;

The main responsibilities of this role are the development and specification of market risk methodology across asset classes, in particular development of market risk models to be used under new regulations as prescribed by Fundamental Review of trading Book (FRTB).

- Understand the products traded and trading strategies used.

- Identify all sources of market risk.

- Develop and specify the internal market risk models.

- Understand risk models (VaR & RNIV) currently in use and proposed changes under FRTB regulations

- Development and implementation of risk methodologies to be used for market risk measurement under FRTB

- Define and specify implementation of stress scenarios for non-modelable risk factors.

- Define and specify implementation for standard rules capital calculation (sensitivity based approach) at group and trading desk levels.

- Evaluate the impact of the new models and capital rules

- Ensure that any significant tail-risk is highlighted to the Scenarios team.

- Support the development and specification of the Economic Risk Capital (ERC) model.Collaborate closely with the Model Validation group to ensure that the risk sensitivities used for risk calculations are appropriate.

- Collaborate closely with the data team to ensure that the historical data used in calculations are appropriate.

- Collaborate closely with the change teams, to ensure that any changes to methodology are appropriately project-managed for implementation.

- Ensure that all risk models are adequately documented for both internal and external (e.g. regulatory) purposes.

Yasmeen