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AVP - Market Risk Management

Mumbai, MH
Job Code:
  • Banking & Finance
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Job Details

Reporting into the VP, you shall be part of their Risk Information group and you shall be responsible leading a team of market risk professionals. Some of your key deliverable will be as followsManage the daily operational process of validating the Time Series (TS) data feeding the risk engines, ensuring timely publication of VaR and other risk measures ( SVaR, IRC, Back Testing, APR and CVA )Ensure timely VaR sign-off (Flash,Finals,etc ) and other deliverables based on frequencyThe Successful ApplicantYou are a Master's in Statistics / Economics/ B. Tech from a Tier 1 institution (IIT's, IIM's, ISI) with minimum 9 years of experience in the Market Risk domainExperience of managing/leading large teams is extremely criticalCertifications such as CFA, PRMIA, GARP, ACT/MCT, FRM, PRM, CQF shall be preferredStrong exposure to diverse asset classes with understanding of market conditions (volatility, extreme price moves) is essentialExcellent understanding of VAR methodologies along with knowledge of regulatory requirements (FSA, EU/CRD and Basel/BIS)Proficient in Excel/VBA, JAVA, Python, MATLAB, R, etc Monitor, escalate any production gaps (people issues, system issues) to the management team or IT.Provide business requirements for any new development or fixes to the Market Risk Projects team or IT and to sign off test results.Work as a subject matter expert on Market Data and VaR processesWork closely with a variety of stakeholders including front-line desk risk management along management of daily operational deliverablesEnsure any data quality gap is overcome by means of effective dialogue with internal and external team members.
Degree: M.Com. (Commerce) | M.Pharm. (Pharmacy) | M.Sc. (Science) | MA (Arts) | MBA/ PGDM | MCA/ PGDCA

Additional Degree: BE/ B.Tech (Engineering)

Experience: 9-14


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