Consultant - Quant - Bangalore- Regulatory & Financial Risk

Deloitte Consulting

1 - 6 years

9 - 10 Lacs

bengaluru

Posted:1 day ago| Platform:

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Skills Required

analytical skills retail financial risk market risk equity market data data analytics credit risk otc

Work Mode

Work from Office

Job Type

Full Time

Job Description

Market Risk Reporting Analytics

Analyse, investigate and validate risk and PL numbers across Basel 2.5 and FRTB
Support FO in analysing impact of scenarios and management of risk appetite
Identify, validate, escalate and remediate data issues and control gaps with MR/CCR/PB teams
Report EOD VaR Flash and pricing errors to the Risk Managers (RM)

Uncleared Margin Rules

Validate risk measures for OTC derivatives prior to Initial Margin (IM) calculation
Validate IM by performing attribution analysis
Coordination with counterparties for Initial Margin Disputes related to Risk Models Market Data

Market Data initiatives

Work with Quants on buildout market data analytics/Hedging
Work on regulatory and MRM driven initiatives on tighter controls on MR/CR (like FRTB and CCAR EST risk data)
Identify issues and control gaps in existing infrastructure

Optimization

Work with the trading desks on optimization methodology.
Work on Risk Rebalancing and Compression runs

Requirements

Good understanding of Derivatives
Knowledge of regulatory guidelines like SIMM, FRTB, BCBS 239
Knowledge of Greeks, Value at Risk (VaR), Credit Risk Model. Knowledge of Interest Rates, Credit spreads, bond pricing, etc
Good Communication skills and strong analytical skills
Programming knowledge (Python, VBA etc) is good to have.
FRM/CFA is good to have.
1-6 years of work experience

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