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Senior Manager – Market Risk Methodology

Job Description

Please find below the description of the position that is available in our Market Risk Management team based in Bangalore.

Job Description:

- Work alongside the VaR team to improve the calculation of Counterparty Risk 

- Assist with analysis and closure of model validation tasks and for models for which the team is responsible

- Review the results of the back testing process, liaising with internal teams to understand and analyse exceptions from a PnL and VaR perspective

- Identify opportunities to streamline and automate daily manual processes, and work with Risk IT to implement these improvements.

- Working on ad hoc projects to improve productivity and efficiency 

- Managing a team of 10 people, which includes day to day activities, escalations and also career progression

Skills Required:

- Minimum of 9 years of experience in the risk space, with at least 7 years in the Market risk space

- Good knowledge of VBA & SQL, along with thorough knowledge of MS Excel and Access

- Should have experience with OTC Derivatives (credit, equity, loans, etc). Having a working knowledge of Basel regulations is a plus

- Should have experience on working on pricing models such as:

a) Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

b) Market Risk (or Counterparty) historic VaR calculations

- Advanced degree from top tier university in Mathematics, Statistics, Economics or Finance. FRM & CFA candidates are preferred

- Experience in project management is an additional advantage