AVP - Market Risk

- Establish risk management practices and measures across all asset classes / currencies and related derivatives including both exchange traded and over the counter

- Determine and monitor the various market risk factors involved in derivative instruments (traded/non-traded)

- Verification of appropriateness of various input data (like volatility surface, risk free rate etc) used in valuation of derivative instruments

- Verification of payoff calculations included in documentation/term sheet of derivative instruments/transactions

- Set up the market risk framework covering all types of exposures related to derivatives – risk limits for greeks, VaR, stress numbers etc & monitoring of same

- Ongoing monitoring of various aspects of exotic options instruments like knockouts, contingent events, etc

- On maturity of transaction/deal, independently checking and ensuring that deal payoffs are as per terms & conditions in original document/term sheet

- Preparation of risk analytics reports and update to Risk Management Committee & other stakeholders on periodical basis

- Ensure compliance to process controls implemented in various areas of deal origination, trading, redemption, ongoing monitoring, product approvals etc

- Ensure adequate disclosures relating to risk management & valuations are being made to comply with regulatory requirements i.e.in offer documents, company website etc

- Provide support to other operational wings i.e. treasury, finance, secretarial, compliance etc to ensure that all issues relating to derivatives are adequately monitored

CA/ MBA with minimum 4 years of experience. Should have sound knowledge of market risk management practices across various derivatives instruments

Position based with a large Financial group in Mumbai.

Interested candidates please mail at anish@dimensionshrd.com

Anish Handa