Market Risk Manager

I am hiring this profile for one of our Consulting client. This role can operate from multiple locations like Mumbai, Pune, Chennai, Bangalore & Gurgaon.

Role Overview

We are seeking a Market Risk Manager with deep expertise in Market Risk Analytics, FRTB, Derivatives Pricing, Treasury Analytics, Regulatory Compliance, and Risk Framework Development. The ideal candidate will have prior consulting experience, a strong grasp of client-facing engagements, and the willingness to travel to the Middle East for short- to medium-term projects. This role involves working closely with financial institutions to support market risk-related projects, assist in regulatory compliance (Basel III/IV, FRTB, ICAAP), and engage in stakeholder collaboration to integrate risk models into decision-making processes. Strong communication skills and a collaborative attitude are critical for success.

Role & responsibilities:

Market Risk Modelling and Documentation

• Valuation of financial instruments including Fixed Income, Equity, Structured Products, and Derivatives.
• Development and enhancement of models for FRTB, market risk capital charge, pricing models, and VaR.
• Draft and maintain business requirement documentation (BRD) and technical/model documentation.

Framework Development & Regulatory Compliance

• Design and implement market risk frameworks including risk policies, monitoring limits, and risk appetite statements.
• Support clients in achieving regulatory compliance under Basel III/IV, FRTB, and ICAAP.
• Develop internal stress testing methodologies aligned with enterprise risk management practices.

Client Engagement & Delivery

• Act as a consultant to financial institutions for model integration, risk reporting, and strategic risk initiatives.
• Contribute to proposal development, thought leadership, and client presentations.
• Provide mentorship to junior team members and act as an SME in market risk and model development.

Preferred candidate profile:

Candidates with Big4 experience will be preferred first

• Masters or PhD in Quantitative Finance, Financial Engineering, Mathematics, Statistics, or related field. Certifications such as CFA, FRM, or Actuarial credentials are an advantage.
• Minimum 6 years of experience in market risk, with strong preference for candidates with prior consulting experience (Big 4 or equivalent)
• 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.
• 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.
• Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS.