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Risk Analyst 3

3.00 to 5.00 Years   Mumbai City   23 Dec, 2020
Teamware Solutions (quantum leap consulting)
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryIT - Software
Functional AreaStatistics / Analytics
EmploymentTypeFull-time

Job Description

Job OverviewOverview of business area or project: Suggestion: It would be good to share information with the agencies and candidates about the business area where this role will be located in, for them to have an understanding of the context, as well we perhaps the project the contractor will work on if the role is project orientated. This will help raise the candidate s interest.The Quantitative Analysis and Technology (QAT) Market Risk Methodologies team is responsible for creating VaR (Value at Risk) models that captures market risk. The team excels in the continuous development and improvement of VaR methodologies for CS across various asset classes such as Equity, Securitized Products, Credit and Rates.The team is currently recruiting developers to develop a testing framework for the VaR models. The testing framework will house all the testing requirements related to the model choice, performance test, backtesting, data analysis, assumption/limitations and calibration methods to fulfill the developmental evidence of VaR models.Key Responsibilities

  • Play a role in the development of VaR model testing framework
  • Proactively seek solutions to improve material parts of the model testing; review and improve components; identify the relevant sources of risk and assess their capture
  • Ensure that the developed model testing are adequately documented for both internal and external (e.g. regulatory) purposes
  • Assist in preparing presentations for senior management covering change impacts, methodology features and capital implications
Overview of the department / team (team size, backgrounds, personalities ): Suggestion: One of the key areas candidates are interested to hear about is the size and structure of the existing team, as their team will be their most frequent interfaceQAT Market Risk Methodologies in Mumbai has a team size of around 50 covering asset class risk methodologies for VaR and RNiV, ERC, FRTB and CCAR.Challenges Contractor will be facing in this role: Suggestion: Adding information about the most important challenges the Contractor will face in this role will help the agency ensure they select the most suited candidates, those who can overcome these challengesExposure to VaR methodologies, Risk Management and Financial products will be crucial for the development of the testing requirements.Essentials Skills and Qualifications: 1. Proficient in C# and Python programming with exposure on Risk Mgmt., Financial product, VaR, Stressed VaR and time series modelling2. Experience in quantitative market risk within an investment bank or other financial institution; previous VaR experience is beneficial3. The candidate with first degree in mathematics, physics, econometrics, statistics or engineering are preferred, or with a professional qualification e.g. CFA, FRM, PRIMA would be an advantage4. Excellent written and interpersonal communication skills and ability to produce high quality, accurate work, under pressure and to tight deadlines5. Willingness to question and challenge the status quo and ability to provide alternative approachesDesired Skills and Qualifications: 1. Proficient in C# and Python programming with exposure on Risk Mgmt., Financial product, VaR, Stressed VaR and time series modelling2. Experience in quantitative market risk within an investment bank or other financial institution; previous VaR experience is beneficial3. The candidate with first degree in mathematics, physics, econometrics, statistics or engineering are preferred, or with a professional qualification e.g. CFA, FRM, PRIMA would be an advantage4. Excellent written and interpersonal communication skills and ability to produce high quality, accurate work, under pressure and to tight deadlines5. Willingness to question and challenge the status quo and ability to provide alternative approaches,

Keyskills :
data analysisrisk managementsenior managementcfa

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