ERS -AM/DM - Mumbai - GRR - FCMAV
Practice & role overview
Deloitte’s Governance, Regulatory and Risk practice provides financial risk management solutions to banks, financial institutions and corporate clients. The market risk management business line specifically focuses on providing risk advisory, valuations and quantitative advisory services to clients, including services for
- Financial instrument valuation
- Market risk management
- BASEL II/ III implementation
- Implementation of treasury and market risk systems
- Risk modelling and quantitative advisory services
- Performance attribution and analysis
Key areas of responsibility
- Undertake independent valuations of financial instruments to validate valuations undertaken by clients and relevant valuation models
- Engage with clients to understand specific problem areas and deficiencies, if any, pertaining to market risk management
- Conduct reviews of market risk management framework, including qualitative elements such as policies, limit management, MIS & reporting frameworks etc.
- Assist clients in strengthening market risk management framework to comply with regulatory requirements and industry leading practices
- Recommend remedial action steps to address gaps identified
- Develop policies, procedures and associated documents for market risk management frameworks
- Develop capital computation methodologies under Basel II standardized and advanced approaches
- Develop risk measurement models for market risk management, including models for NOP, VaR, PV01, Expected Shortfall, Greeks etc.
- Assist in development of new solutions for the firm, based on market requirements and business line strategy
- Develop Thought Leadership articles around solutions to create market awareness and visibility
- Participate in organizing symposiums, conferences etc. to create better brand and solution visibility
- Candidates should have at least 2 + years of experience of working in a bank’s treasury middle office or market risk function. They may also be from the risk consulting or risk systems implementation space.
- Candidate should have knowledge and understanding of the products traded in the Indian financial markets and their valuation methodologies.
- Candidate should have thorough understanding of financial derivatives for Interest Rate and FX asset classes. Should have knowledge of basic valuation techniques for interest rate swaps, FX options and forwards.
- Understanding of market risk quantification methodologies (VaR, Expected Shortfall, Stress Testing etc.) is essential, including knowledge of capital calculation methodologies under Basel II / III
- Should have hands-on experience of using statistical tools such as SAS, R, MATLAB, FINCAD etc. Knowledge of programming on VBA, C++/Java, etc. and experience of market risk systems (Reuters, Bloomberg, Murex, SAS, Numerix etc.) would be a strong advantage.
- MBA or equivalent Master’s degree in Finance, Statistics, Economics or Mathematics from premier institutes required. Graduates (B.Tech / B.E) with relevant experience can also be considered.
- Professional Certifications like the CFA and FRM will be an added plus
- Quantitative training and strong problem solving as well computer skills (C++, Java, and MATLAB) are necessary.
Soft skills and desired characteristics
- Ability to work comfortably at the highest levels of client organizations and interacting closely with high level executives in a range of environments
- Comfortable functioning in a broadly positioned role in a highly diverse service lines working across industry verticals. Must possess an impressive executive demeanour, a team oriented and collaborative approach, and excellent presentation skills, including strong oral and writing capabilities
- Committed, hardworking individuals willing to spend hours on research
- The individual must possess and demonstrate high integrity and credibility as perceived by all those with whom s/he will work
- Strong intellect coupled with proficient commercial instincts
- Diplomatic, flexible and have a good team approach.
- Part of the execution team involved in transformation projects with key focus on commodity trading and price risk management
- Relevant industry/ advisory experience of working on commodity trading and price risk management solution
- Have strong research and correlation capabilities with ability to develop and deploy commodity price risk management strategies and procedures
- Demonstrate financial risk management knowledge and industry expertise.
- Develop relationship with the key client personnel and identify business development opportunities
- Lead a team of 1-2 team members and independently manage project work streams engagements with minimal support from project leader
- Arrange and participate in client meetings and project team activities
- Analyze and interpret the results and prepare relevant reports
- Research information using publically available data sources and Company’s proprietary tools to assist the project team
- Act as single point of contact between the client’s key middle management personnel and the Deloitte project team and provide resolutions to client queries with minimal support from project manager/ director.
- Manage engagement economics and provide regular updates to the project manager
- MBA/ Master’s degree in finance and/or similar area with a minimum of 4 years of relevant experience
- Candidates with FRM/ CFA would be preferred
- Working knowledge of financial accounting
- Proficiency in excel. Must be adapt in use of other tools of MS office
- Proficiency in English. Able to communicate and motivate via written media
- Must be an excellent face-to-face and telephone communicator
Requisition code: 116579
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