AVP - Market Risk - VaR Calculations - Investment Bank

Designation - AVP - Market Risk Aggregations

Required Skill Set - VaR Calculations, Monte Carlo, Historical Simulations, Variance-Covariance

Incumbent should have 9-14 years of experience into Value at Risk calculations

Location - Bangalore

Key Responsibility Area- s:

- Preparation and analysis of accurate and timely daily market risk and Consolidated reporting and analysis, for MI and regulatory purposes with a global remit e.g. sensitivities, VaR, Stressed VaR (SVaR), Incremental Risk Charge (IRC), etc. The main customers of the consolidated reports are the Regulatory Finance team (for capital & RWA reporting) and senior market risk management

- Analytical review and explanation of movements to stakeholders (60% analytical review, 40% reporting) on reporting supported out of the offshore team.

- Consolidate Risk Management Committee packs

- Review & monitor limit mandates

- Model Performance review - specifically VaR back testing, hypothetical portfolio back testing. Preparing back testing packs for Europe & Middle East region and providing inputs to the Global pack.

- RWA reporting - MI pack for Market Risk RWA requirement

- Assisting the team in coordinating and following up with sign off from Market Risk managers of respective desks and/or regions.

- Computation of Maximum Stressed VaR period, globally.

- Ad hoc regulatory projects (Stress testing, FRTB, HPE etc.)

- Continuous process improvement

Knowledge, Skills and Experience requirement :

- Qualification in finance, accountancy, business management or previous experience in risk management (Market Risk and Credit Risk) is essential.

- Highly competent in the production of information, and the ability to process and analyse large volumes of data.

- Excellent communication skills

- Excel and VBA skills are a pre-requisite

- Ability to work under pressure and to tight time-lines is essential

- A detailed understanding of the credit risk measures like PD, EAD, LGD, Expected Loss, Unexpected Loss and credit risk concepts like counterparty credit risk, credit derivatives.

- An understanding of market risk measures such as present value of a basis point (PVBP) and VAR, or detailed understanding of the valuation of capital markets and derivative products is desirable.

Ashu Rajpoot
9873179522