Assistant Vice President - Market Risk Reporting - Financial Services

Responsibilities:

- Sound understanding of risk management in market risk, credit risk, liquidity risk, and stress testing for Rates, FX, Equity, Commodities.

- Knowledge and experience in the following: MTM, Basel II / III, Dodd frank, FRTB, BCBS 239, Counterparty CR, Risk reporting, VaR/CaR methodology, capital calculations, and potential exposure

- Manage the process of validating the data feeding the risk systems. Ensure timely publication of VaR and other risk measures

- Analyse risk scenarios and benchmark risk profiles for new products.

- Calculate risk associated, measure value at risk (VAR), and manage market risk exposures (Delta, Gamma and Vega risks) for derivative strategies. Analyze variances and explain underlying changes.

- Monitor and escalate issues to senior management attention

- Liaise with IT / Change departments to drive improvements in the process and make it more robust and scalable

- FRTB :The Fundamental Review of the Trading Book (FRTB) - FRTB is loosely defined as a set of proposals by BCBS Basel Committee on Banking Supervision as framework for the next generation market risk regulatory capital rules for large, internationally active banks.

- Effective stakeholder management; interact with a diverse audience from senior management to risk management committees and non-risk forums