Treasury Mid-Office/Market Risk Management Treasury Mid-Office, Market Risk, Credit Risk, Basel III Implementation 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. Educational / Professional Qualification Chartered Accountant, IIM/IIT, MBA from tier 1 institute / NIBM. Risk Management qualification like FRM / PRM /CFQ or CFA will have an added advantage. Technical Knowledge - Familiarity with Murex / Calypso / SAS will have additional advantage - Strong analytical and problem-solving skills. - Proficient with MS Excel and Excel Macro - Understanding the ever-changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management. - Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests. - Well organized and ability to perform under stringent timeline pressures without compromising on the end result quality - Understanding of R Studio / Python would be an added advantage.

Mumbai

Navi Mumbai

Treasury Mid-Office/Market Risk Management Role - IIT/IIM 

Job Description for Treasury Mid-Office/Market Risk Management Role - IIT/IIM  in Novo Tree Minds in  Mumbai Navi Mumbai for (3-14) years of experience. Apply Now!