Position: Global Market risk (FRTB) - Consultant/AM, Mumbai
Skill Set:
Market Risk, Pricing Models, Model Validation, Python, Counterparty Credit Risk, Risk Indicators, VAR, Stress Testing, Excellent English communication skills
Department: Market Risk
Experience: 2 to 6xyears
Job Type: Full Time
Number of Positions: 1
Location: Mumbai
Job Description:
Roles & Responsibilities:
• Develop and/or validate market risk and pricing models, including:
• FRTB (IMA)
• Value-at-Risk (VaR), Stressed VaR (SVaR)
• Risk Not in VaR (RNIV), P2A
• Counterparty Risk Exposure models
• XVA and stress testing models
• Perform end-to-endmodel validation, including benchmarking, outcome analysis, and impact assessment.
• Prepare high-quality model validation reports, clearly documenting assumptions, limitations, and identified weaknesses.
• Ensure all work is well-documented, concise, and reproducible.
• Track, manage, and close model-related findings effectively.
• Conduct model risk assessments, including robustness analysis and identification of model limitations.




• Provide subject matter expertise (SME) on models and model risk to global teams.
• Work on derivative pricing and valuation models, covering both plain vanilla and exotic instruments.
• Ensure adherence to model risk management guidelines, such as SR 11-7 or equivalent regulatory frameworks.
Required Skills & Expertise:
• Solid experience in Market Risk and FRTB modeling or model validation/ development
• Qualications: CA, MBA Finance, PGD (Preferably Finance)
In-depth knowledge of:
• Financial risk management practices
• Regulatory expectations and model risk governance
• Proficiency in Python and working knowledge of SQL.
• Strong documentation and reporting skills.
• Advanced proficiency in Microsoft Word, Excel, PowerPoint, and LaTeX.
Additional Information:
- Short Joiners Preferred with immediate to Max 30 days notice.
- Interview Process: 2 to 3 rounds (Virtual and Final round can be F2F)
- Please confirm if you ha

📌 Global Market risk (Mumbai)
🏢 AALUCKS Talent Pro
📍 Mumbai