Job
Description
Key Responsibilities: Model Development, Validation, and Documentation Demonstrate expertise in the valuation of financial instruments, including Fixed Income, Equity, Structured Products, and Derivatives. Hands-on experience in model development, including FRTB, Market Risk Capital Charge, pricing models, and VaR models. Draft and maintain business requirements documentation (BRD) and model documentation. Framework Development & Regulatory Compliance Develop market risk frameworks, including policies, process notes, risk monitoring limits, and risk appetite frameworks for financial institutions. Assist clients in ensuring compliance with Basel and regulatory guidelines. Contribute to the development of internal stress testing frameworks as part of Enterprise Risk Management (ERM) and ICAAP. Experience in FRTB implementation and market risk capital computation. Qualifications: Education: Masters or PhD in Quantitative Finance, Financial Engineering, Mathematics, Statistics, or a related field. Professional certifications (e.g., CFA, FRM, Actuarial Science) are a plus. Experience: Minimum of 3+ years of experience with a focus on market risk in a consulting firm or relevant experience with a banking or financial institution is preferred Strong background in market risk capital computation using standardized method or internal-models approach (IMA), market risk management, stress testing, and VaR computation. Technical Skills: Proficiency in programming languages such as Python, R or SAS for model development and data analysis Experience with packages such as Murex, Bloomberg, SAS or Calypso Strong experience with data analysis tools (e.g., SQL, Excel, Hadoop, Spark) and machine learning libraries
