Barclays is seeking talented candidates for the post of AVP- Market Risk Management. This jobs post is for the location Mumbai. The selected candidate will also support the transition to future capital calculations for the CVA under FRTB (SA/BA-CVA), including key risk reporting and analysis of the regulatory CVA sensitivities.
About the Position AVP-Market Risk Management
- Counterparty Risk Trading (CRT) is responsible for the pricing and active risk management of various Fair Value Adjustments arising from collateralisation (or lack thereof) of OTC derivatives, collectively known as XVA (CVA, DVA, FVA and discounting adjustments etc.).
- The successful candidate will be part of the Mumbai Market Risk team supporting the Counterparty Risk Trading (CRT) Market Risk activities for Barclays Bank PLC and Barclays Group. This includes daily review of market risks and VaR arising from the CRT desk.
- The candidate will also support the transition to future capital calculations for the CVA under FRTB (SA/BA-CVA), including key risk reporting and analysis of the regulatory CVA sensitivities.
What will you be doing?
- Accountability for the accuracy and timely reporting of risk metrics used in the Management and Regulatory VaR calculations of the XVA and associated hedges.
- Ensure efficient implementation of risk controls in daily processes and procedures.
- Supporting market risk stress testing, limit monitoring and RNIVs.
- Supporting the transition to the SA/BA-CVA capital calculation as we build out the infrastructure, reporting and analysis tools for successful delivery in 2025 and beyond.
- Drive infrastructure upgrades and developments as they relate to CRT Market Risk.
What we’re looking for?
- Bachelor’s degree in Finance, Economics, Mathematics or related quantitative field (Master’s strongly preferred- e.g. Risk, Finance, Business (or CFA/FRM)
- Experience in quantitative risk management and analysis (e.g. leveraging Excel VBA/Python/SQL); knowledge of XVA or Regulatory CVA is a plus.
- Comfortable working against tight short-term deadlines and managing multiple workflows in a dynamic pressurized environment that has direct contribution to the firm’s revenue and capital footprint.
- Highly motivated with demonstrated ability to work independently as well as collaborate well with others. Sound knowledge of derivative markets, products and pricing and process flows for data management
- Ability to handle multiple priorities and operate autonomously whilst still being able to escalate appropriately
- Analytical and IT skills are required (Excel/VBA) to build tools that will help in carrying out the responsibilities in this role.
Skills that help you in this role:
- Established understanding of market risk measures and techniques, e.g. Greeks, stress testing and VaR.
- Excellent communicator, with the ability to engage with a variety of audiences and to challenge both laterally and vertically within the organization.
- Technology proficiency in any of these languages: Python, SQL, VBA, C, C++, Java
- Strong organizational and detailed documentation skills
- Self-motivated, takes ownership of responsibilities assigned to him/her
- Ability to work and collaborate in a team
- Prior experience in market risk reporting or management would be preferred
Salary
The salary of AVP- Market Risk Management in Barclays range between Rs. 36 Lakhs to 42 Lakhs.
Location
Mumbai
