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Job Id: 420
Job Title: Market Risk
Industry: Banking, Financial Servcies & Insurance
Functional Area: Analytics & Business Intelligence
Salary: 35 Lac - 35 Lac
Job Location: Mumbai
About the Client

The Clienti s a Global Imvestment Bank headquartered in Europe. It has four divisions: Investment Banking, Private Banking, Asset Management, and a Shared Services Group that provides marketing and support to the other three divisions.

It is a member of Wall Street's bulge bracket, a list of less than a dozen of the largest and most profitable banks. The company has been identified as one of the world's most important banks, upon which international financial stability depends. The bank is also one of Fortune Magazine's most admired companies.

Job Description

1. Collaborate with London counterparts in rolling out enhancements/methodology changes in credit scenarios stress testing framework.
2. Analyze the stress testing and scenario analysis reports and validate the scenario impacts.
3. Prepare regulatory stress testing submissions.
4. Report risk drivers that are causing these changes and identify any data issues
5. Create new scenarios and maintain the scenario definitions as required.
6. Raise data issues with controls team and follow up for resolution
7. Running and maintaining all tactical tools (in MS Access and MS Excel) for exposure measurement used globally. These tools are in place to (1) calculate counterparty exposures for particular product types, (2) update parameters that are used in counterparty exposure calculations and (3) assess model performance (back testing)

Desired Candidate Profile

1. Good MS Access skills
2. Good VBA & SQL knowledge
3. Should have experience with at least one of the following
a. OTC Derivatives (At least one asset class), Secured Financing Transactions
b. Pricing models
c. Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)
4. MBA/Analytical/Numerical degree
5. Should have knowledge of basic programming, algorithm.
6. Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.
7. Being responsible for deliverables.
8. Good Communication skills.
9. Highly Detail Oriented.

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