Job Location: Gurgaon
- The Market and Valuation Risk team within Corporate Audit seeks a Quantitative Financial Analyst to work as part of a global team integrated into the main Corporate Audit function and specializing in all aspects of market risk management and valuation of trading positions.
- The Market and Valuation Risk team is a global team of subject matter experts (SMEs) comprising 7 senior associates in APAC (1), EMEA (4) and the US (2).
- The successful candidate will be expected to work closely with team members in APAC and EMEA, and engage with key partners in the Corporate Audit organization, including the Global Markets Audit, Model Risk Audit and Technology Audit teams.
- Existing members are drawn from wide range of quantitative backgrounds, and the team comprises former traders, market risk managers, front office and finance quants, and regulators.
- The team leads many high profile audits comprising both regulatory-required and functional work, with continual senior management and regulatory focus.
- The role will provide the successful candidate exposure both within Audit and more widely in the firm.
Responsibilities:
- Validating Market & Valuation Risk issues with Line of Businesses and driving timely remediation
- Performing thorough technical analyses and summarizing results in concise and impactful report conclusions for distribution and presentation to senior management and bank regulators.
- Assessing conceptual foundations of market risk measurement and valuation across Global Markets businesses, providing independent challenge to existing approaches as needed.
- Proposing and executing test programmes as part of day-to-day audit work.
- Close work with a support development team to enhance and automate testing by leveraging new technologies and artificial intelligence.
- Working flexibly as part of the global team on audit projects as required, including providing SME support to other teams within Corporate Audit.
Requirements:
- Education : PhD or Masters degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics, Computer Science, or related field
- Exp Range : 8+ years work experience of which at least 2-5 years is expected to be in one or more areas relevant to the role, such as risk management, price verification, quant or trading group in a bank or other financial institution.
Foundational Skills:
- Strong knowledge of financial instruments and financial risk management principles, including exposure to Global Markets products, especially derivatives.
- Deep understanding and knowledge of market risk measures and fair valuation.
- Strong understanding of financial modelling fundamentals.
- Strong presentation skills, with ability to communicate clearly and effectively both verbally and in writing; ability to produce high quality technical documentation.
- Ability to problem solve.
- Ability to work both as a self-starting individual and as part of an integrated team
- Excellent attention to detail
- Have a positive outlook and an ability to work in a fast paced environment/multi-task under pressure.
- Critical thinker, intellectually curious
Desired Skills
- PhD or strong Masters in a quantitative field
- Experience in computational, engineering or scientific research or development roles.
- Strong programming skills using Python, R and/or C++/C#, with ability to develop code to conduct independent testing and replicate results.
- Prior knowledge of Audit (although training will be given to the successful candidate)
- Knowledge of market risk capital regulation (Basel III) and good awareness of requirements in the Fundamental Review of the Trading Book.
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