Market Risk Manager

Job Description

I am hiring this profile for one of our Consulting client. This role can operate from multiple locations like Mumbai, Pune, Chennai, Bangalore & Gurgaon. Role Overview We are seeking a Market Risk Manager with deep expertise in Market Risk Analytics, FRTB, Derivatives Pricing, Treasury Analytics, Regulatory Compliance, and Risk Framework Development. The ideal candidate will have prior consulting experience, a strong grasp of client-facing engagements, and the willingness to travel to the Middle East for short- to medium-term projects. This role involves working closely with financial institutions to support market risk-related projects, assist in regulatory compliance (Basel III/IV, FRTB, ICAAP), and engage in stakeholder collaboration to integrate risk models into decision-making processes. Strong communication skills and a collaborative attitude are critical for success. Role & responsibilities: Market Risk Modelling and Documentation Valuation of financial instruments including Fixed Income, Equity, Structured Products, and Derivatives. Development and enhancement of models for FRTB, market risk capital charge, pricing models, and VaR. Draft and maintain business requirement documentation (BRD) and technical/model documentation. Framework Development & Regulatory Compliance Design and implement market risk frameworks including risk policies, monitoring limits, and risk appetite statements. Support clients in achieving regulatory compliance under Basel III/IV, FRTB, and ICAAP. Develop internal stress testing methodologies aligned with enterprise risk management practices. Client Engagement & Delivery Act as a consultant to financial institutions for model integration, risk reporting, and strategic risk initiatives. Contribute to proposal development, thought leadership, and client presentations. Provide mentorship to junior team members and act as an SME in market risk and model development. Preferred candidate profile: Candidates with Big4 experience will be preferred first Masters or PhD in Quantitative Finance, Financial Engineering, Mathematics, Statistics, or related field. Certifications such as CFA, FRM, or Actuarial credentials are an advantage. Minimum 6 years of experience in market risk, with strong preference for candidates with prior consulting experience (Big 4 or equivalent) Exposure to all or some of FRTB, VaR, Derivatives pricing, Treasury management and related Regulatory frameworks o Demonstrate strong verbal and written communication skills during client interactions, documentation, and workshops. Be open to frequent travel to the Middle East to deliver onsite consulting engagements. o Proficiency in Python, R, or SAS for model development and data analytics. Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS.