RFDAR is globally led by Melanie Neill and reports to the Chief Risk Officer (CRO); the function is located across all major locations and is responsible for :
Market Risk information management & reporting
Credit Risk information management & reporting
Operational Risk information management and reporting
Managing development and implementation of risk and finance systems
Regulatory change and coordination, establishing policies covering market risk, credit risk, operational risk and finance
The RFDAR RFDP Market Risk is part of RFDAR and is globally led by Suprabha Dikshatha. RFDP Market Risk comprises approximately 75 staff globally with presence in Mumbai and Singapore.
The team has overall responsibility for end-to-end process to ensure completeness of underlying risk data, perform data input sanity checks (L2 checks) and validation calculated risk measures (L3 checks) such as VAR / IRC / ERC for market risk.
RFDP - Market Risk team is seeking to recruit an ENO to join the team. The successful candidate will be part of the RFDP Market Risk function in Mumbai.
The role involves :
Understanding of dynamics of market data inputs, trade attributes and market risk sensitivities required for analyzing VAR / ERC / IRC movements.
Ensure completeness of the underlying sensitivity data; perform exception clearing and necessary data adjustments.
Review and Validate material day- on-day changes in underlying risk sensitivities.
Liaise with respective IT and support teams to resolve any data related issues.
Review and Validate material day-on-day changes in calculated risk measures (VAR / ERC / IRC), accurately attributing to input data changes identified by Market Risk Data Management and Control Team, market data changes in time series and risk computation methodology changes.
Provide accurate and meaningful commentary to highlight driver(s) of material calculated risk measures (VAR / ERC / IRC) in validation templates.
Notification to Market Risk Reporting and Analytics team on a possible delay, reason of delay and ETA on completion of Market Risk measures validation process.
Perform Market Risk Data Quality Management to capture Time Series data / methodology issues if any. Inform and / or escalate to appropriate teams, and follow up on remediation plan in a timely manner.
Understanding front-to-back data flows and system architecture.
To participate in the roll out of enhancements in risk systems, processes and data feeds as well as contributing to various tactical and strategic projects andWorking closely with the Business, IT Departments, Controllers, Operations and your counterparts in other regions.
To participate in the roll out of enhancements in risk systems, processes and data feeds.
Strong product and risk knowledge from at least 2-4 years' experience in an investment banking environment
Deep knowledge of market risk concepts, internal models and standard rules
Graduate or Post-Graduate in Finance / Statistics / Economics / Sciences and Mathematics
Completed or currently taking the CFA or FRM qualifications would be desirable