Market Risk Business Analyst
Luxoft
Pune, IN
3d ago

Project Description

We've been engaged by a large Australian financial institution to provide resources to their FRTB project.

Joining this program you will have the benefit of working with an established client team, fully involved in the project initiation through to project implementation.

The role will focus on the interaction between the technology team and system output and the Quant team.

Responsibilities

You will be a Business Analyst focusing on

1. Assisting in gathering and nailing down requirements for the market risk team, front office and other business stakeholders.

Working with technology stakeholders to also define technical requirements.

2. Work on FRTB implementation solution design together with the wider team.

3. Analyzing MR / VAR test run outputs, identify, analyse and remediate issues. Discuss issues with Market Risk and Quant teams as required.

Must have

4+ years' experience in pricing and / or risk validation for financial markets

Previous experience with financial markets technology from a Financial Markets FO or Risk perspective.

Experience in analyzing VAR / FRTB Market Risk outputs to determine first level of accuracy of values. Discuss results with Quant team and facilitate their involvement as required.

In-depth knowledge of various asset classes including IRD, FI, Credit, FXD, FX Cash and Commodities, espcially in IRD and Rates

Experienced in dealing with Risk, Product Control and Front Office stakeholders in both Markets and Treasury divisions

Some technical skills (Python, SQL, VBA, Excel) are expected

Nice to have

Python knowledge is highly regarded

Hands-on knowledge of FO configuration : instruments, generators, curves, market data, market conventions, etc

Expert knowledge of how to analyze P&L and sensitivity issues within technology platforms

Languages

English : C1 Advanced

Senior

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