AVP - Market Risk - Investment Banking

AVP

Top MNC investment banking captive hiring Market Risk professional as AVP based out of Mumbai based.

Role & Responsibilities :

- The primary role of the team is to measure and verify counterparty credit risk for the investment bank. The objective of the role is to work closely with the colleagues in EMEA & America to support changes/enhancements to the methodology frameworks and additionally support several tactical process and reports for regulators as well as credit officers.

- Collaborate in implementing methodology changes in WrongWayRisk and other strategic initiatives.

- Collateral haircut and margin period of risk (FCCM)

- Maintain and enhance the routing tables used to route trades to the most appropriate calculators.

- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.

- Running and maintaining all tactical tools (in MS Access and MS Excel) for exposure measurement used globally.

These tools are in place to :

- Calculate counterparty exposures for particular product types

- Update parameters that are used in counterparty exposure calculations.

Competencies required :

- Good MS Access skills

- Good VBA & SQL knowledge

- Should have experience with at least one of the following

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, Greeks)

- MBA/Analytical/Numerical degree

- Should have knowledge of basic programming, algorithm.

- Knowledge of risk mitigation practices and experience with Basel II/III initiatives would be considered advantageous.

- Being responsible for deliverables.

- Good Communication skills.

- Highly Detail Oriented