Market Risk Manager - Bengaluru
Location
Bangalore | India
Job description
Working at 4most
We are not your typical consultancy firm; with over 250 credit risk, actuarial and market risk consultants. Our colleagues own a significant share of the business, and we have ambitious plans to grow even further.
As experts in our field, we are passionate about what we do and embrace diversity; we've created a fun and innovative environment where technical minds flourish. Individual success is not measured by the size of your team or the hours you work, it's the unique value you bring to the community. We want our people to think differently and challenge the status quo.
Our people are our biggest asset, having been voted the Best Company to work for at the 2023 Credit Strategy Awards, Best Management Consultancy Firm MEA Finance UAE 2022 and Women in Credit Employer of the Year for 2022, our awards speak for themselves. We reward teamwork and believe value should be shared with all who contribute.
We are passionate about what we do and making a difference, so we're taking bold steps to reduce emissions to achieve net zero by 2025. As an aspiring B-Corp we want to work with people and clients who share our values.
Key Responsibilities - Work closely with the Head of Market Risk to drive product/service delivery, proposition development, proposals, recruitment, thought leadership and client delivery activities
- Lead projects to ensure delivery within the scope, deadlines and budget set
- Lead analysis, modelling and transformation projects and work with others in the team to deliver larger projects as required
- Work with areas of the business to identify opportunities for increasing value through the application of analysis and modelling techniques
- Present and discuss results with senior management and gain buy-in for initiatives
- Work with operational managers to test the effectiveness of existing and new business strategies and synthesise the results with other knowledge to recommend new strategies and plans
- Proactively identify areas for improving the Market Risk analytics capability
- Deliver training activities for 4most to educate staff on market risk fundamentals, key regulatory and market developments
- Undertake ad hoc activities as required
- Ensure all data is managed securely, maintained appropriately and analysed correctly in line with Data Protection legislation and industry regulation
- Work within the company Health and Safety policy.
Envisaged Balance of the Role Analysis - 15%
Modelling and Validation - 10%
Communicating - 50%
Reporting - 25%
Requirements Analytical - Leading model development and/or validation projects within a consulting firm, investment bank or wholesale bank in at least one of the following areas:
- Interest Rate Risk in the Banking Book (IRRBB) models covering Economic Value of Equity (EVE), Net Interest Income (NII) and behavioural models (i.e. deposit stickiness, non-maturity deposits, prepayment risk, pipeline risk and margin compression/basis risk)
- Traded Market Risk models covering pricing models (Rates, equities, FX, commodities or credit), Greeks, VaR, Stress VaR. Incremental Risk Charge (IRC), FRTB IMA – including Expected Shortfall/Mon Modellable Risk Factors (NMRF) and FRTB Standardized Approach (SA)
- Counterparty Credit Risk (CCR) covering PFE modelling, IMM models, SA-CCR, FRTB CVA including SA-CVA and BA-CVA, initial margin models (e.g. ISDA SIMM and dynamic initial margin) and xVA (i.e. CVA, DVA, FVA, MVA and KVA)
- ICAAP/ILAAP formulation and regulatory stress testing activities (e.g. EBA, BOE, CCAR etc)
- Leading model validation engagements for clients, through model review of design, implementation, use and ongoing monitoring, identifying model weaknesses and proposing solutions and performing benchmark implementation of models
- Leading projects covering systems integration, model development, model validation, regulatory reporting and process re-engineering working on risk or treasury transformation initiatives (e.g. FRTB, IRRBB, FTP, CVA)
- Lead Business analysis and testing covering Business Requirements Document (BRD) delivery, User Acceptance Testing (UAT) and end to end process mapping
- Lead the documentation of models in line with internal policy and regulatory requirements
- Play an active role with the business on organising and leading projects set
- Support the Senior Management Team in the identification of opportunities for and delivery of statistical analysis and modelling projects
- Evaluate developments and develop new areas of specialism to take to the market.
Advisory - Provide advisory services to clients on local Regulatory matters in the UK, Europe and UAE
- Advise clients on common and best practice in relation to analytical and modelling approaches
Knowledge And Understanding Required (competencies)- Academic – Bachelors, Masters or Phd degree in a numerical field such as Mathematics, Statistics, Physics, Economics/Econometrics or Financial Engineering
- Professional qualifications – PRM, FRM or CQF would be advantageous.
- Experience – 8+ years working within a consulting firm, investment bank or wholesale bankwithin methodology, model validation, risk management or business transformation functions. Experience of working with banks in the UAE, UK or Europe would be an advantage.
- Analysis Packages – Python, R or SAS. Experience of leading model development or validation initiatives using these packages, with hands on experience in the past would be advantageous.
- Product knowledge across the banking book and/or trading book covering loans/deposits, derivatives and securities finance transactions (SFTs)
- Risk Models (at least one area):
- Derivative pricing models: Rates, Equities, FX, Credit or Commodities
- IRRBB models: EVE, NII or behavioural models (i.e. deposit stickiness, non-maturity deposits, prepayment risk, pipeline risk and margin compression/basis risk)
- Traded Market capital/RWA models: VaR, SVaR, IRC, FRTB IMA (ES and NMRF) and FRTB SA
- Counterparty Credit Risk (CCR) covering PFE models, SA-CCR, IMM exposure models, FRTB-CVA (BA-CVA and SA-CVA). Initial margin models (ISDA-SIMM or dynamic initial margin) or xVA (CVA, DVA, FVA, MVA and KVA)
- Knowledge of regulatory requirements such as Basel SRP 31, EBA guidelines on IRRBB, Fundamental Review of the Trading Book (FRTB), CRR2/CRR3, PRA CP 16/22, SS 12/13, SS 13/13, and model risk management guidelines (SR-11-7, SS 1/23 and CBUAE model management standards)
- Change lifecycle – Strong understanding of the change lifecycle covering project planning (including RAID logs, running working groups), business requirements definition, functional requirements, testing and production deployment
- Business Analysis Skills – Strong ability to document business requirements, liaise with the business and technology teams, perform user acceptance testing (UAT) and embed process changes into an organisation.
- Data manipulation & Visualisation – Leading projects involving the analysis and use of large datasets with trade, market and reference data using SQL, Power BI or Tableau. Knowledge of Data Protection legislation an advantage.
- Communication Skills – Strong communicator: verbal, written, and bringing results and recommendations to life. Strong influencing and interpersonal skills with the ability to collaborate with people across the organisation
- Passionate about the business impact of analysis, driven by continuous improvement. and attention to detail
Benefits Salary dependant on experience plus:
- 25 days' holiday
- Discretionary bonus
- 50% sponsorship towards relevant courses (e.g. professional qualification, Masters, PhD etc)
- Private health insurance
- Life assurance
- Employee provident fund
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