Applications are invited for the positions of "Associate Manager - Market Risk Analytics" in one of the largest MNC analytics firm in Mumbai.
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Job Description :
- Providing support to clients (mainly hedge fund risk managers) with regards to the content and the production of risk reports: answering queries on risk exposures, measures, scenarios, Value-At-Risk calculations and models used within the risk system.
- Creating ad hoc SQL scripts to extract data out of GoRisk engine to facilitate investigations.
- Working together closely with the risk development team to test and validate new pricing models and enhancements.
- Reconciling client expectations with the numbers reported by our system using alternate systems such as Bloomberg and/or in house excel addin libraries. Identify and explain all observed discrepancies.
- Coordinating and actively participating in the setting up of new clients on the risk platform, configuring the risk engine to conduct the set of analyses as required.
- Monitor the Risk System performance. Identify and address any adhoc issues regarding the production of risk reports or escalate to the appropriate team. Provide input and feedback for the continuous enhancement of the system.
- Bachelors degree in quantitative studies or commerce plus 5-10 years of experience in financial industry, or Masters degree in Finance, Financial Engineering, Quantitative Finance, plus experience, or PhD in Finance, Financial Engineering, Quantitative Finance
- Experience with production software environments would be an advantage
- Exposure to various asset class financial instruments modeling and pricing (equity/FX options, bonds, futures, interest-rate swaps, etc.)
- Exposure to risk management techniques, VaR approaches (Historical, Monte-Carlo) and sensitivity measures (option greeks, DV01...etc).
- Excellent communication skills are important, both written and oral (English)
- Logical reasoning and problem solving capabilities are essential
- Strong analytic skills
- Strong motivation and ability to learn
- Superb work ethic is a must
- Basic understanding of Unix/Linux is a plus
- Familiarity with Bloomberg is a plus
- Familiarity with SAS is a plus
- Basic understanding of trading strategies across all major asset classes and hedge fund investment styles.
- Experience in a client facing role (eg consulting) would be an advantage
Essential Skills :
Desirable Skilss :