Senior Associate- Market Risk

Market Risk/Basel 2.5 norms/FRTB.

Location:

Role Summary

The role demands a good level of understanding of Market Risk/Basel 2.5 norms/FRTB along with strong hands-on experience in Change management and Business Analyst projects.

Responsibilities:

• Perform a BA role for Market risk projects in Change Management and work with various stakeholders in understanding the requirements pertaining to VaR calculations/Basel 2.5, Backtesting, Greeks, Sensitivity Analysis.
• Articulate the requirements into simpler, understandable statements through tools in the form of a Business Requirement Document (BRD), Functional Specification Document (FSD) etc.
• Work with development team to model the requirements, and propose, calibrate, and implement appropriate assumptions.
• Engage in constant and continuous communication with all the stakeholders to ensure smooth completion of tasks and report any deviations from proposed timelines.
• Prepare and consolidate test cases across the capital calculations, including any adjustments, reconciliation, exception management, reporting, etc.
• Review test cases ensuring completeness of UAT coverage & Change Management.
• Collaborate seamlessly across various business units, integrating change management principles to ensure holistic alignment with organizational goals.
• Prepare project reports and trackers highlighting risks, analyzing trends an recommendations /adjustments that address or capitalize on changes required.

Requirements:

• Should be well versed with Change management process including drafting business requirement documents, functional specifications documents, preparing user stories and test cases.
• Ability to write multi-application test strategies, test plans, and detailed test cases with expected outcome.
• Experience in understanding and interpreting the computation of risk measures (VaR, IRC, ES etc.), management of risk limits, risk reporting etc.
• Knowledge on Basel norms and FRTB.
• Strong analytical skills, communication/ interpersonal, documentation, stakeholder management, and teamwork skills required.