Assistant Manager | Market Risk | Delhi | Regulatory & Financial Risk

• Job requisition ID : 103192 

• Location: Delhi

• Entity: Deloitte Touche Tohmatsu India LLP 

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: 

Good understanding of Derivatives

Any Graduate

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.

3-7 years of work experience