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

• 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.
• FRM/CFA is good to have