Job Description: Assistant Vice President (AVP) - Market Risk
Department: Traded Risk - Market Risk (MR)
Location: Mumbai
Experience: 3-15 years
Role Summary
We seek a dynamic AVP Market Risk professional with deep expertise in quantitative modeling and hands-on technology skills. This role demands a unique blend of market risk methodologies and agile full-stack development capabilities to drive risk model innovation, implementation, and validation. You will collaborate with trading desks, quants, and technology teams to enhance risk frameworks in alignment with Basel III/IV, FRTB, and regulatory standards (e.g., SR 11-7, SS1/23).
Key Responsibilities:
- Develop, validate, and implement risk models (VaR, Expected Shortfall, IRC, CVA/xVA, Stress Testing) using Python/C++.
- Enhance counterparty credit risk (CCR) frameworks, exposure simulation, and back-testing for derivatives portfolios.
- Build scalable solutions for FRTB compliance, Monte Carlo simulations, and risk factor modeling (rates, FX, credit, equities, commodities).
- Collaborate with desk quants/traders to integrate pricing models (Black-Scholes, numerical methods) into risk infrastructure.
- Optimize economic capital calculations, scenario analysis, and regulatory reporting (Basel).
- Conduct model validation, performance testing, and documentation per SR 11-7 guidelines.
- Mentor junior team members in agile development practices and risk analytics.
Mandatory Skills & Experience:
1. Risk/Finance/Quant Expertise (All are essential):
Modeling: Proven hands-on experience in - 3 of:
- Counterparty Credit Risk (CCR) | Derivative Pricing (Swaps, Options, Futures, Credit Derivatives)
- Market Risk (VaR, ES, FRTB, Basel) | Model Development/Validation (core)
- Statistical Modeling | Monte Carlo Simulation | Exposure Modeling | CVA/xVA
Risk Techniques:
- Back-testing | Incremental Risk Charge (IRC) | Economic Risk Capital
- Risk Factor Modeling (Rates, FX, Credit, Equities, Commodities) | Stress Testing
Asset Classes:
- Derivatives (Swaps, Options, Futures, Credit Derivatives) & Cash Products across Rates, FX, Credit, Equities, Commodities.
2. Technology Expertise (Daily hands-on coding required):
- Languages: Expert proficiency in Python and C/C++ (non-negotiable).
- Development: Full-stack/agile development experience (CI/CD, testing, deployment).
- Database: SQL/NoSQL for large-scale risk data.
- Secondary Tools: R, MATLAB, Numerix (acceptable only if paired with Python/C++).
3. Domain Knowledge (Practical application required):
- FRTB | Basel III/IV | SR 11-7 | SS1/23 | Black-Scholes | Numerical Analysis
- Back-testing/P&L Explain | Desk Quant Collaboration | Pricing Model Integration
Qualifications
Education:
- Master's/PhD in Statistics, Mathematics, Physics, Engineering, Financial Engineering, Econometrics, Computer Science, or Quantitative Finance.
Certifications (Preferred):
- FRM (GARP) | PRM | CQF | AI/ML Certifications | Advanced Coding Certifications.
- Note: MBAs must demonstrate strong technical modeling/coding skills. Purely non-technical MBAs are not eligible.
Didn’t find the job appropriate? Report this Job