Consultant/Assistant Manager – Market Risk – FRTB DIgitalcubez

The Corporate Institute; Mumbai; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

The Corporate Institute in Mumbai invites applications for a Market Risk (FRTB) Consultant/AM with 2–6 years of experience. The role focuses on developing and validating market risk and pricing models, including FRTB IMA, VaR, and RNIV, with emphasis on robust documentation.

You will work with global teams, ensure adherence to model risk guidelines, and support derivative pricing for vanilla and exotic instruments while strengthening reporting and governance through Python, SQL, and LaTeX

Qualifications

• CA, MBA Finance or PGD in Finance preferred.
• 2–6 years of market risk experience in modeling or validation.
• Proficiency in Python and SQL.
• Strong documentation and reporting skills.
• Knowledge of SR 11-7 or similar guidelines.

Responsibilities

• Develop or validate market risk and pricing models including FRTB (IMA).
• Perform end-to-end model validation, benchmarking, outcome analysis and impact assessment.
• Prepare model validation reports documenting assumptions, limitations and identified weaknesses.
• Ensure all work is well-documented, concise and reproducible.
• Track, manage and close model-related findings effectively.
• Conduct model risk assessments, including robustness analysis and identification of model limitations.
• Provide SME on models and model risk to global teams.
• Work on derivative pricing and valuation models for vanilla and exotic instruments.
• Ensure adherence to model risk management guidelines.

Skills

Market Risk

FRTB modeling

Model Validation

Python

SQL

Documentation

Reporting

Education

CA

MBA Finance

PGD (Finance)

Tools

LaTeX

Job description

Designation: Market Risk (FRTB) Consultant/AM

Experience: 2 – 6 years

Location: Mumbai

Roles And Responsibilities:

• Develop and/or validate market risk and pricing models, including FRTB (IMA), Value-at-Risk (VaR), Stressed VaR (SVaR), Risk Not in VaR (RNIV), P2A, Counterparty Risk Exposure models, and XVA and stress testing models.
• Perform end-to-end model validation, including benchmarking, outcome analysis, and impact assessment.
• Prepare high-quality model validation reports, clearly documenting assumptions, limitations, and identified weaknesses.
• Ensure all work is well-documented, concise, and reproducible.
• Track, manage, and close model-related findings effectively.
• Conduct model risk assessments, including robustness analysis and identification of model limitations.
• Provide subject matter expertise (SME) on models and model risk to global teams.
• Work on derivative pricing and valuation models, covering both plain vanilla and exotic instruments.
• Ensure adherence to model risk management guidelines, such as SR 11-7 or equivalent regulatory frameworks.

Required Skills & Expertise:

• Strong experience in Market Risk and FRTB modeling or model validation/development.

Qualifications:

CA, MBA Finance, PGD (Preferably Finance).

In-depth knowledge of:

• Financial risk management practices.
• Regulatory expectations and model risk governance.
• Proficiency in Python and working knowledge of SQL.
• Strong documentation and reporting skills.
• Advanced proficiency in Microsoft Word, Excel, PowerPoint, and LaTeX.

Mandatory Skills:

• Market Risk, Pricing Models, Model Validation, Python, Counterparty, Credit Risk, Risk Indicators, VAR, Stress Testing.

Additional Skills:

• Communication Skills, Documentation Skills.