Murex Market Risk Consultant

Luxoft; Chennai; On-site; INR 4,000,000 - 7,000,000; Full time

Job summary

Luxoft in Chennai is seeking an experienced Murex Market Risk specialist to lead risk configurations and optimizations for a European bank program. You will work with Risk, Front Office and IT to implement enhancements and validate VaR, PV01, CR01, and PnL vectors, driving accuracy and performance.

You will mentor juniors, coordinate testing with end users, and contribute to automation and release improvements across risk measures and calculations.

Qualifications

• 5+ years of experience in Murex Market Risk module.
• Deep expertise in Murex Market Risk Environment (MRE) module.
• Proven ability to configure and optimize Market Risk calculations independently.
• Experience configuring and running risk computations (reval / normalised runs).
• Strong stakeholder management with risk measure validations.
• Deep understanding of MM, Fixed Income, FX and IR Derivatives.
• Hands-on validations of VaR, PV01, CR01 and PnL vectors.
• Solid SQL skills for data analysis and validation (Oracle/SQL Server).

Responsibilities

• Lead Market Risk enhancements and optimizations in the Murex platform.
• Engage with end users to gather, clarify, and document business requirements.
• Own and drive Murex Market Risk configurations and optimizations.
• Improve performance and accuracy of risk calculations and methodologies.
• Validate Market Risk measures (VaR, PV01, CR01, PnL vectors) and coordinate testing.
• Troubleshoot complex issues related to Market Risk computations.
• Collaborate with Risk, Front Office and IT for seamless integration.
• Mentor junior team members and contribute to release process improvements.

Skills

Murex Market Risk

Murex MRE

VaR / PV01 / CR01

SQL / Data validation

Stakeholder management

Asset classes: MM, FI, FX, IR

Unix/Linux knowledge

MxML / DataMart

Python scripting

Tools

MxML

DataMart

Oracle

SQL Server

Unix/Linux

Python

Job description

Project description

We have been engaged by a large European Bank to provide experienced professionals for their Murex Market Risk program.The program focuses on delivering a robust risk management platform for Treasury Front Office, TMO, and Risk teams to effectively manage the bank's funding and market risk exposures. Team members are expected to bring deep expertise, drive change initiatives, and work closely with business stakeholders to ensure seamless delivery of enhancements and new functionalities.

Responsibilities

• Lead Market Risk enhancements and optimizations in the Murex platform
• Independently engage with end users to gather, clarify, and document business requirements
• Own and drive the implementation of Murex Market Risk configurations and optimizations
• Optimize existing risk methodologies and calculation formulas to improve performance and accuracy
• Conduct impact analysis and validation of Market Risk measures (e.g., VaR, PV01, CR01, PnL vectors)
• Drive functional validations for Market Risk metrics and coordinate testing with end users
• Troubleshoot, debug, and resolve complex issues related to Market Risk computations
• Work closely with cross-functional teams including Risk, Front Office, and IT to ensure seamless integration of risk measures
• Provide guidance and mentorship to junior team members
• Contribute to process automation and continuous improvement of release cycles

SKILLS

Must have

• 5+ years of experience in Murex Market Risk module
• Deep expertise in Murex Market Risk Environment (MRE) module
• Proven ability to develop, configure, and optimize Market Risk calculations independently
• Experience in configuring and running risk computations, including reval runs, normalized runs
• Strong business stakeholder management skills, with experience in running risk measure validations
• Deep understanding of asset classes including MM, Fixed Income, FX, and IR Derivatives
• Extensive hands-on experience in Market Risk functional validations (e.g., Interest Rate VaR, Stress Testing)
• Expertise in configuring and validating various Market Risk measures such as VaR, PV01, CR01, and PnL vectors
• Strong analytical skills to explain differences in VaR results between Murex and other risk systems
• Solid understanding of Oracle and/or SQL Server RDBMS, with strong SQL skills for data analysis and validation

Nice to have

• Experience with Unix/Linux environments and scripting (Shell, Python, etc.)
• Exposure to GIT for version control
• Good knowledge of CI/CD methodologies and tools
• Development skills in MxML, DataMart, or other Murex modules
• Understanding of regulatory risk requirements (FRTB, Basel framework, etc.)