Lead market risk model development, valuation and regulatory compliance (FRTB, VaR). Design risk frameworks, perform stress testing, produce BRDs/technical docs, engage clients, mentor juniors, and deliver onsite consulting.
Key Responsibilities
1. Market Risk Modelling and Documentation
o Valuation of financial instruments including Fixed Income, Equity, Structured
Products, and Derivatives.
o Development and enhancement of models for FRTB, market risk capital charge,
pricing models, and VaR.
o Draft and maintain business requirement documentation (BRD) and
technical/model documentation.
2. Framework Development & Regulatory Compliance
o Design and implement market risk frameworks including risk policies,
monitoring limits, and risk appetite statements.
o Support clients in achieving regulatory compliance under Basel III/IV, FRTB, and
ICAAP.
o Develop internal stress testing methodologies aligned with enterprise risk
management practices.
3. Client Engagement & Delivery
o Act as a consultant to financial institutions for model integration, risk reporting,
and strategic risk initiatives.
o Contribute to proposal development, thought leadership, and client
presentations.
o Provide mentorship to junior team members and act as an SME in market risk
and model development.
Requirements
Qualifications
• Education: Master’s or PhD in Quantitative Finance, Financial Engineering,
Mathematics, Statistics, or related field. Certifications such as CFA, FRM, or Actuarial
credentials are an advantage.
Key skills & Experience needed:
o Minimum 6 years of experience in market risk, with strong preference for
candidates with prior consulting experience (Big 4 or equivalent)
o Exposure to all or some of FRTB, VaR, Derivatives pricing, Treasury
management and related Regulatory frameworks
o Demonstrate strong verbal and written communication skills during client
interactions, documentation, and workshops.
o Be open to frequent travel to the Middle East to deliver onsite consulting
engagements.
o Proficiency in Python, R, or SAS for model development and data analytics.
o Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS.
Uniqus Consultech Mumbai, Maharashtra, IND Office
Peninsula Towers Wing A, Mumbai, Maharashtra, India, 400013
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