Associate Consultant, Market Risk

Overview

Develop and maintain quantitative analytics for market risk and counterparty credit risk, covering trading derivatives, securities lending and related regulatory calculations.

What you'll do

• Develop capital market models for FX, interest rate derivatives, securities lending, fixed income and securitized products.
• Build daily trading limit, initial margin and Basel exposure calculation models.
• Support stress testing, capital quantification and internal capital allocation methodologies.
• Evaluate risk frameworks and implement enhancements aligned with corporate objectives and industry practices.
• Collaborate with front office teams, regulators, audit services, committees and senior management.
• Provide technical input, training and communication on risk measurement.

What you'll need

• 4–9 years of relevant market or counterparty quantitative risk experience.
• Master’s degree in Statistics, Economics, Mathematics or another advanced quantitative field.
• Strong knowledge of risk concepts, quantitative modelling and statistical concepts used in stress testing.
• Experience with Python, SAS, advanced Excel and VBA programming.
• Experience building stochastic-process pricing and Monte Carlo simulation models.
• Knowledge of Basel, CCAR, SR 11/7 and banking model-risk requirements.
• Strong quantitative, communication, organizational and interpersonal skills.

Nice to have

• Experience in model validation.
• Related industry qualification such as CFA or FRM.
• B.Tech from a tier-one college with an MBA in a related field.

Details

• Location: Bangalore, India.