Overview
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.