Description

Job Description
Key Responsibilities

1. Market Risk Modelling and Documentation

o Valuation of financial instruments including Fixed Income, Equity, Structured

Products, and Derivatives.

o Development and enhancement of models for FRTB, market risk capital charge,

pricing models, and VaR.

o Draft and maintain business requirement documentation (BRD) and

technical/model documentation.

2. Framework Development & Regulatory Compliance

o Design and implement market risk frameworks including risk policies,

monitoring limits, and risk appetite statements.

o Support clients in achieving regulatory compliance under Basel III/IV, FRTB, and

ICAAP.

o Develop internal stress testing methodologies aligned with enterprise risk

management practices.

3. Client Engagement & Delivery

o Act as a consultant to financial institutions for model integration, risk reporting,

and strategic risk initiatives.

o Contribute to proposal development, thought leadership, and client

presentations.

o Provide mentorship to junior team members and act as an SME in market risk

and model development.

Requirements

Qualifications
• Education: Master's or PhD in Quantitative Finance, Financial Engineering,

Mathematics, Statistics, or related field. Certifications such as CFA, FRM, or Actuarial

credentials are an advantage.

Key skills & Experience needed:

o Minimum 6 years of experience in market risk, with strong preference for

candidates with prior consulting experience (Big 4 or equivalent)

o 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.

o 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.

o Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS.