Market Risk Management Role

Responsible for Market Risk Management functions:

- Valuation & review of Treasury portfolios - Forex, Fixed Income, Derivatives, Equity and structured products.

- Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio.

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies and its enhancement.

- Conducting Back testing and Performing root cause analysis for Back testing exceptions including statistical back testing.

- Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes and Computation of Market related off market

Credit Exposure as per standardized approach:

- Validation of market data/derived market data and positions for valuation and risk analysis

- Conducting P&L contribution (Attribution) analysis based on first and second order sensitivities and underlying market movements

- Knowledge of advanced (Structured) products like, Barrier options, Digitals, Swaption, Caps & floors, CDS, CLN etc. including its valuation and risk profile.

- Shall have granular understating of latest regulatory developments in market risk domain including IND-AS.

- Responsible for RBS submission related to market risk data to RBI in line with RBI expectations.

- Responsible for providing data to Audit

- Responsible for timely submission of Regulatory /Internal daily and periodical analysis and Market risk submission to RMC and Board.

- Should have exposure and understanding on LIBOR transition exposure assessment, its impact and Valuation and Risk assessment post demise of LIBOR.

- Assisting in Setup of Valuation and Risk for new products across Treasury and Risk management system

- Enhancing process and policies in line with the industry best practice and RBI/regulatory expectations.

- Review of Market Risk, Product policies, etc. in line with the ever changing regulatory scenarios and in line with leading industry practices.

- Proactive Market Risk management.

Note:

- Candidate shall have 1 - 3 years of experience in Market Risk Management in Domestic Private Sector Banks, Indian Branches of Foreign Banks, Public Sector Banks, Risk Consulting.

- Candidate shall possess understanding of Market Risk management and Risk framework, Treasury products, Valuation methodologies, Sensitivities, VaR, Back Testing, Stress testing, Credit Exposure, etc.

- Candidate should possess knowledge of Basel and IMA/SIMM/FRTB requirements.

Requirements:

Exp: 2-18 Years

Location: Mumbai

Work mode: Onsite