Manager/Chief Manager - Market Risk - Bank - NITIE/DSE/IGIDR/ISI

Company: A Private Bank

Location: Mumbai

Group: Market Risk Group

Grade: Manager / Chief Manager

Education : B.Tech / M.Tech from top engineering colleges or MBA/M.SC from institutes like NITIE/DSE/IGIDR/ISI

Experience : Minimum 6-12 years in the area of valuation/risk management of derivatives

Skill sets : Deep understanding of financial products/derivatives; understanding of financial markets (interest rates, exchange rate, fixed income)

Job Description

Lead a team of analysts for the following activities :

- Reviewing models used for pricing/marking to market/risk management of derivative products understanding the mathematical construct of the models

- Creation of excel based models for validation of pricing models

- Reviewing market data inputs used for valuation of such instruments

- Configuration of Murex system for valuation and working along with front office, technology for Murex version migration projects

- Reviewing assumptions and ascertaining limitations of models

- Liaisoning with treasury front office/middle office/technology teams for all the above activities

- Responding to queries from front office pertaining to valuations, specific requirements from clients, establishing checks for data inputs

- Interacting with auditors and RBI officials to address all queires/clarifications with respect to valuation of derivatives

- Engaging with external entities for having all models validated externally on an annual basis