AVP - Market Risk Derivatives - Bank

ROLE: Market Risk & Model Risk

FNCTIONS:

Reporting to the Head of Market Risk, the candidate will:

- Work as Key resource for the management of Market Risk of the Bank (portfolios include Fixed Income, Foreign Exchange, Derivatives, Bullion etc).

- Recommend & Set-up valuation methodologies, valuation curves & risk models for Fx & Interest Rate Derivatives (including exotic derivatives), Fixed Income & Forex portfolios.

- Perform periodic internal validation (using MS Excel or R/Python) of pricing/valuation/counterparty risk/VaR/CVA/market risk models used for all portfolios - Fixed Income, Forex, Derivatives etc. The candidate will also coordinate the External Validation of all valuation & risk models.

- Represent Risk Management & contribute to projects like LIBOR transition and play a key role in the implementation of new Capital approaches like FRTB, etc.

- Evaluate new Treasury Products and Structures and advise management on the risks, controls, limit-structure & limit-levels, valuation etc. Quick Turnaround time is expected.

- Risk analysis and Stress testing of the Bank's Treasury portfolios and recommending risk mitigation measures to Management.

- Contribute towards the design and calibration of the Bank's Market Risk Appetite, Market Risk Limit Framework & limit-levels.

- Perform continuous monitoring of the Market Risk in the Bank's Treasury portfolio and in the market environment and provide timely advice to for the mitigation of Market Risk and Operational risk in Treasury.

Qualifications & Skills:

- CA or MBA (Finance) or Masters in Markets/Finance etc

- Professional designations like FRM/PRM/CFA Charter holders etc would be viewed favourably

- In-depth knowledge of Derivative valuations & risk calculations - is a must. Ability to validate/replicate system valuation & risk numbers

- Deep understanding of financial markets and the impact of market and economic environment on treasury portfolios.

- Ability to analyse, summarize and present analysis