Senior Market Risk Consultant Full Time

Highlight of the engagement opportunity

• Nature of role: Full time
• Number of years of experience expected: – (5 – 12) years
• Areas of past experience preferred: Market risk measurement, FRTB, valuation and MTM model validation across asset-classes (Fixed-income, money-market, FX, equity, derivatives), Market data validation, transformations and bootstrapping, VaR
• Educational qualification expected: Graduate/ Postgraduate
• Preferable additional certifications: FRM / CFA / MBA / CQF / Actuarial / CA
• Preferred geography of previous work experience: India / Europe / APAC / US
• Language requirements: Ability to write and speak fluently in English
• Application experience preferable: MS Excel, VBA, Python, R, SAS, Bloomberg, Reuters and / or other industry leading treasury and market risk systems such as Murex, Calypso, Kondor+ etc.

Key responsibility areas:

• Independently lead and manage market risk consulting and system implementation engagements with leading banks, financial institutions, NBFCs, insurance companies and corporates
• Manage market risk engagements and projects across asset classes such as FX, fixed-income, money market, equity, commodity and derivatives.
• Development and validation of MTM and valuation models for asset classes such as Equity, fixed-income, money-market, FX, vanilla and exotic derivatives
• Development, review and / or validation of models used to measure risk and sensitivity measures such as convexity, duration, greeks, PV01, VaR, Stressed VaR, expected shortfall, etc.
• Development, review and / or validation models used for curve construction and bootstrapping to facilitate generation of par rates, zero rates, forward rates, discount rates, etc.
• Development, review and / or validation models used to calibrate volatility surfaces
• Extensive experience in treasury middle-office and development / review / validation of various models configured for valuation, MTM and risk measure computation.
• Extensive experience in creation of model validation documents
• Extensive experience in system validation and implementation engagements covering aspects such as BRD creation, FSD review, system configuration, SIT, UAT etc.
• Demonstrate functional understanding and interface with clientele during implementation engagements.
• Lead and drive day-to-day execution of assigned client projects.
• Lead hiring and mentoring initiatives to expand and upskill execution and delivery team for market risk engagements
• Design and monitor detailed project plans for all market risk engagements
• Directly report and provide detailed updates to business unit leader for all market risk engagements on an on-going basis

Selection process:

We seek to be transparent during the selection process. While the actual process may vary from the process indicated below, the key steps involved are as follows:

• Personal interviews: There are expected to be at least 2 rounds of online interviews. The number of interview rounds may increase depending on the criticality and seniority of the role involved.
• Final discussion on career and compensation: Post final selection, a separate discussion will be set up to discuss compensation and career growth. You are encouraged to seek any clarifications you have during this discussion.

Preparation required:

It is recommended that you prepare on the following aspects before the selection process:

▪ Demonstrate knowledge about trading book products

▪Demonstrate knowledge about MTM valuation and pricing models across various asset classes

▪Demonstrate experience of leading / executing engagements related to treasury middle office, model validations, market risk measurement etc.

For any additional queries you may have, you can send a LinkedIn InMail to us, connect with us at https://www.acies.consulting/contact-us.php or e-mail us at [email protected].

How to reach us:

Should you wish to apply for this job, please reach out to us directly through LinkedIn or apply on our website career page – https://www.acies.consulting/careers-apply.html