Project Description:

We have been engaged by a large Australian Bank to provide experienced consultants
to support their Market Risk technology as part of some migration, maintenance and
upgrade.
The program focuses on delivering a steady and efficient risk management platform for
Treasury Front Office, TMO, and Risk teams to effectively manage the bank's funding
and market risk exposures. Role involves bringing deep expertise of market risk
functions, drive change initiatives, and work closely with business stakeholders to
ensure seamless delivery of enhancements and new functionalities with minimum / no
disruptions to business functionalities.

Responsibilities:

- Lead Market Risk enhancements and optimizations in the bank's platform
- Participate in functional testing and parallel run activities to test Mark to market
differences and trade completeness between front office and risk system (FIS).
- Validate and analyze market and reference data for all the asset classes such as
Bonds and IR Future, Commodities, Cap/Floor, Swaption, etc for Market risk & FRTB
regulations.
- Maintain and update risk database for the FIS risk engine requirement and build
controls to validate the data lineage and integrity
- Analyze and resolve issues related to FIS system configuration, pricing, sensitivities,
and market data for the current production trades.
- Write & Review documentation for various functional areas such as market and
reference data, system configurations, reporting etc across the program
- Independently engage with end users to gather, clarify, and document business
requirements
- Own and drive the implementation of Market Risk configurations, configuring various
Stress / Back testing reports and optimizations

- Optimize existing risk methodologies and model validations to improve performance
and accuracy
- Conduct impact analysis and validation of Market Risk measures (e.g., VaR, PV01,
CR01, PnL vectors)
- Drive functional validations for Market Risk metrics and coordinate testing with end
users
- Troubleshoot, debug and resolve complex issues related to Market Risk computations
- Work closely with cross-functional teams including Risk, Front Office, and IT to ensure
seamless integration of risk measures
- Provide guidance and mentorship to junior team members
- Contribute to process automation and continuous improvement of release cycles

Mandatory Skills Description:
- 8+ years of experience as a Market Risk BA
- Deep expertise in Market Risk Models, FRTB and asset classes including MM, Fixed
Income, FX, and IR Derivatives
- Excellent understanding on pricing derivatives and option products, configuring market
data / curves
- Proven ability to develop, configure, and optimize Market Risk calculations
independently
- Experience in configuring and running risk computations including reval runs,
normalized runs
- Strong business stakeholder management skills, with experience in running risk
measure validations
- Extensive hands-on experience in Market Risk functional validations (e.g., Interest
Rate VaR, Stress Testing)
- Expertise in configuring and validating various Market Risk measures such as VaR,
PV01, CR01, and PnL vectors
- Strong analytical skills to explain differences in VaR results between Murex and other
risk systems
- Good understanding of Oracle and/or SQL Server RDBMS, with strong SQL skills for
data analysis and validation

Nice-to-Have Skills Description:
- Experience with Unix/Linux environments and scripting (Shell, Python, etc.)
- Experience on lading OTC trading platforms Murex, Calypso, FIS
- Exposure to GIT for version control

- Good knowledge of CI/CD methodologies and tools
- Understanding of regulatory risk requirements (FRTB, Basel framework, etc.)