Qrm Analyst

**Project Description**:
We've been engaged by a large Australian company for their Treasury and Capital Markets Risk Management projects. This project involves development for testing analysis based on the the complex risk and position data across various asset classes.

This will be a high profile engagement with a view to quickly grow our offshore footprint with this client.

To meet increasing regulatory demands significant change will be required to the Quantitative Risk Management third party calculation engine, QRM which is used to calculate the Risk metrics.

**Responsibilities**:
You will be focusing on Analyst focusing on quality for a major project in the ALM space. You will be working with an established team of QRM consultants both in Australia and India and perform tasks linked to test design/strategy, unit testing, SIT & UAT.

You will work with stakeholders to understand requirement, create test cases, and work closely with the QRM tool for input and testing, etc.

Daily tasks include:

- Fetch data using basic technology (like SQL) to feed the QRM tool to analyze market risk reports
- Perform detailed analysis around the products and modules in scope to determine coverage required
- Work with users to formulate and document business requirements
- Develop functional specifications for use by system developers
- Identify, investigate, and analyze QRM requirements
- Identify and evaluate inefficiencies and recommend optimal business practices. Analyze QRM functionalities and behaviour and conduct tests to ensure optimal practices
- Use project management methodologies (mainly AGILE), principles and techniques to develop project plans and to cost, resource and manage projects. Use DevOps for CICD.
- Take responsibility for deploying functional solutions, such as creating and implementing test plans, which ensure acceptable quality and integrity of the system
- Create user and training documentation, and conduct formal training classes for usage of QRM
- Use data and process modelling techniques to QRM based reports for Risk analysis (Credit & Market risk)
- Act as a SPOC and information source, providing guidance and assistance in the change processes for new functionalities or reports dev in QRM
- Define stream test strategy and approach
- Configure, execute and report on test phases / test cycles
- Configure and automate trade insertion, event insertion, reports and extract reconciliations
- Work with business analysts, developers and vendors to resolve defects
- Review and quality assure test cases

**Mandatory Skills**:

- Risk Management

**Mandatory Skills Description**:

- Experience in set up of relevant parameters in QRM to produce and test the desired results
- Experience in Data Warehouse/regulatory control framework
- Experience in SQL and relational databases and Basic ETL concepts
- Strong knowledge of QRM and ability to independently design and test a solution inside and outside QRM
- Design and test of changes in Behavioral assumptions/model assumptions in QRM or having good understanding on different assumptions set up in QRM
- Experience in developing and testing of solutions to acquire and prepare data from numerous upstream systems for processing by QRM
- Experience in Asset & Liability Management function specially in IRRBB/ Liquidity/ BSM (Balance Sheet Management)/ Treasury functions
- Experience in key global Risk regulations, namely FRTB and Basel 2.5
- Experience in key Capital Market Risk metrices (PV01, DV01, Greeks)
- Experience in key Capital Markets
- Experience in Asset classes like Equity, Credit and Interest Rates
- Experience complex products in Credit Derivatives (CDS, etc.) and Interest Rate Derivatives (swaptions, etc.)

**Nice-to-Have Skills**:
Experience in:

- Trade processing systems like Murex
- Trade processing systems like Calypso
- Trade processing systems like FIS

**Salary**: From $100,000.00 per year

Schedule:

- 8 hour shift

Work Location: One location