Job description
Key Responsibilities 1. Market Risk Modelling and Documentationo Valuation of financial instruments including Fixed Income, Equity, StructuredProducts, 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) andtechnical/model documentation.2. Framework Development & Regulatory Complianceo 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, andICAAP.o Develop internal stress testing methodologies aligned with enterprise riskmanagement practices.3. Client Engagement & Deliveryo Act as a consultant to financial institutions for model integration, risk reporting,and strategic risk initiatives.o Contribute to proposal development, thought leadership, and clientpresentations.o Provide mentorship to junior team members and act as an SME in market riskand model development.RequirementsQualifications • Education: Master’s or PhD in Quantitative Finance, Financial Engineering,Mathematics, Statistics, or related field. Certifications such as CFA, FRM, or Actuarialcredentials are an advantage.Key skills & Experience needed:o Minimum 6 years of experience in market risk, with strong preference forcandidates with prior consulting experience (Big 4 or equivalent)o Exposure to all or some of FRTB, VaR, Derivatives pricing, Treasurymanagement and related Regulatory frameworkso Demonstrate strong verbal and written communication skills during clientinteractions, documentation, and workshops.o Be open to frequent travel to the Middle East to deliver onsite consultingengagements.o Proficiency in Python, R, or SAS for model development and data analytics.o Familiarity with platforms such as Murex, Bloomberg, Calypso, or SAS.Key Responsibilities 1. Market Risk Modelling and Documentationo Valuation of financial instruments including Fixed Income, Equity, StructuredProducts, 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) andtechnical/model documentation.2. Framework Development & Regulatory Complianceo 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, andICAAP.o Develop internal stress testing methodologies aligned with enterprise riskmanagement practices.3. Client Engagement & Deliveryo Act as a consultant to financial institutions for model integration, risk reporting,and strategic risk initiatives.o Contribute to proposal development, thought leadership, and clientpresentations.o Provide mentorship to junior team members and act as an SME in market riskand model development.Key Responsibilities1. Market Risk Modelling and Documentationo Valuation of financial instruments including Fixed Income, Equity, StructuredProducts, 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) andtechnical/model documentation.2. Framework Development & Regulatory Complianceo 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, andICAAP.o Develop internal stress testing methodologies aligned with enterprise riskmanagement practices.3. Client Engagement & Deliveryo Act as a consultant to financial institutions for model integration, risk reporting,and strategic risk initiatives.o Contribute to proposal development, thought leadership, and clientpresentations.o Provide mentorship to junior team members and act as an SME in market riskand model development.