Market Risk Manager

Job Description 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. Location Open for Bangalore, Mumbai, Gurgaon, Pune & Chennai Key Responsibilities 1. Market Risk Modelling and Documentation o Valuation of financial instruments including Fixed Income, Equity, Structured Products, and Derivatives. o Development and enhancement of models for FRTB, market risk capital charge, pricing models, and VaR. o Draft and maintain business requirement documentation (BRD) and technical/model documentation. 2. Framework Development & Regulatory Compliance o Design and implement market risk frameworks including risk policies, monitoring limits, and risk appetite statements. o Support clients in achieving regulatory compliance under Basel III/IV, FRTB, and ICAAP. o Develop internal stress testing methodologies aligned with enterprise risk management practices. 3. Client Engagement & Delivery o Act as a consultant to financial institutions for model integration, risk reporting, and strategic risk initiatives. o Contribute to proposal development, thought leadership, and client presentations. o Provide mentorship to junior team members and act as an SME in market risk and model development. Qualifications • Education Master’s or PhD in Quantitative Finance, Financial Engineering, Mathematics, Statistics, or related field. Certifications such as CFA, FRM , or Actuarial credentials are an advantage. Key skills & Experience needed: o Minimum 6 years of experience in market risk, with strong preference for candidates with prior consulting experience (Big 4 or equivalent) o Be open to frequent travel to the Middle East to deliver onsite consulting engagements . o 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. o Proficiency in Python, R, or SAS for model development and data analytics. o Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS. Show more Show less