Job Duties-
We are looking for a talented and experienced business analyst with sound knowledge and experience in market risk projects especially with FRTB implementations for our global Investment Banking Clients.
* Support the testing & implementation of various risk programs including FRTB
* Ensuring adherence to industry standards and regulatory requirements (in particular with regard to Basel and Capital Requirements Regulation related to FRTB)
* Preparing for internal model governance and regulatory review processes; supporting, coordinating and securing agreement on model design with relevant stakeholders
* Perform technical gap analysis between current state of risk infrastructure for market risk
* Coordinate & collaborate with Business/Risk Manager/Developers to implement the changes to various risk processes, systems & metrics like PnL attribution, generating VaR, Stressed VaR, ES using full revaluation methodology
* Ensuring the MR batch runs are configured correctly, ensure the batch runs without error, resolve the batch run errors by liaising with tech & quant folks, shoulder the QA work in terms of ensuring the batch runs are executed without any errors, numbers generated from new system is accurate & complete with variances are investigated & documented
* Testing & analyzing large data sets to establish the lineage of various data points
* Develop reports for presenting to various project stakeholders on the testing done & gaps identified
* Analyse & explain the impact to Risk Managers and Desk
* Create and maintain the project artefacts
Skills Required-
* 7 + years of experience & strong understanding of Market Risk domain
* Experience in large change projects from risk & technology
* Exposure to Python programming is required
* Working in market risk full revaluation project is highly desirable
* Good knowledge of latest developments in market risk domain including regulatory updates
* Strong understanding of FRTB regulation, VaR & ES calculation methodology
* Good knowledge of derivative products across asset classes including valuation & pricing
* Excellent communication and documentation skills to coordinate with business and technology stakeholders and team members
* Proficiency in SQL & strong data analysis skills is desirable