Applications are invited for the positions of "Market Risk Roles" Applications are invited for current and past IIQF®️ students for Market Risk and Model Validation teams for one of the the Big 4 Consulting firm. The positions will be based out of Mumbai.
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Market Risk Analytics/ Strong Business Analyst with MR Skills (Domain expertise) - Mandatory skills:

• Experience in developing and monitoring market risk models for VaR, SVaR, Expected Shortfall, RNIV, IRC etc.
• Experience in counterparty credit risk, CVA.
• Experience in using Python to develop models and analyse risk data.
• Experience in using Python, R for statistical analysis.
• Experience in model documentation in SR 11-7 standards.
• Knowledge of statistical and numerical techniques and principles of the theory of probability and stochastic calculus.


Model Validation - Mandatory skills:

• Familiarity with quantitative techniques used in financial and econometric models.
• Experience in validation of VaR, SVaR and RNIV models.
• Knowledge of financial cash products and derivative products, Greeks, Risk Calculation and Backtesting methodologies for VaR, ES, Counterparty Credit Risk etc.
• Concepts related to pricing derivatives for any of the asset classes such as fixed income, equities, credit, interest rates, FX, and commodities.


Skills which are good to have:

• Experience with FRTB, IBOR, CCAR, SA-CCR.
• Familiarity with popular machine learning techniques.