Job Title:  Manager | Market Risk Quant | Hyderabad | Regulatory & Financial Risk

Manager | Regulatory, Risk & Forensic – Regulatory and Financial Risk | Market Risk

• Location:  Hyderabad

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: 

• Minimum 5-8 years of relevant experience
• Good understanding of Derivatives
• 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.
• Master’s degree or higher in Quantitative Finance, Statistics, Mathematics, Engineering, or related field
• FRM/CFA is good to have
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