Manager

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