- 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 positive to have.
- FRM/CFA is good to have.
- 3-7 years of work experience