Assistant Manager | Market Risk | Delhi | Regulatory & Financial Risk

The Team

Deloitte Strategy, Risk & Transaction helps entities mitigate risk while discovering new opportunities to create value. Our end-to-end risk services span all domains, from managing strategic risks in the C-Suite to improving board oversight, and from balancing financial and environmental policies to addressing cyber threats. Learn more about Risk, Regulatory & Forensic)

Your work profile

Market Risk Reporting & Analytics​

· Analyse, investigate and validate risk and P&L numbers across Basel 2.5 and FRTB​

· Support FO in analysing impact of scenarios and management of risk appetite​

· Identify, validate, escalate and remediate data issues and control gaps with MR/CCR/PB teams​

· Report EOD VaR Flash and pricing errors to the Risk Managers (RM) ​

Uncleared Margin Rules​

· Validate risk measures for OTC derivatives prior to Initial Margin (IM) calculation ​

· Validate IM by performing attribution analysis ​

· Coordination with counterparties for Initial Margin Disputes related to Risk Models & Market Data ​

Market Data initiatives​

· Work with Quants on buildout market data analytics/Hedging ​

· Work on regulatory and MRM driven initiatives on tighter controls on MR/CR (like FRTB and CCAR EST risk data) ​

· Identify issues and control gaps in existing infrastructure​

Optimization​

· Work with the trading desks on optimization methodology.​

· Work on Risk Rebalancing and Compression runs ​

Key skills required:

• Good understanding of Derivatives
• Any Graduate
• Knowledge of regulatory guidelines like SIMM, FRTB, BCBS 239
• Knowledge of Greeks, Value at Risk (VaR), Credit Risk Model. Knowledge of Interest Rates, Credit spreads, bond pricing, etc.
• Good Communication skills and strong analytical skills
• Programming knowledge (Python, VBA etc) is good to have.
• FRM/CFA is good to have.
• 3-7 years of work experience