Unity Small Finance Bank - Market Risk Role

Risk - Market Risk

Markets Risk Management (MRM):

MRM provides an independent view of market risks to Unity Bank's senior management and manages Unity Bank's Market Risk position in an independent and neutral way. The function is responsible for the provision of all official market risk metrics and core analysis to support prudent Markets risk management decision making.

Responsibilities:

Portfolio Risk Management: A cross asset top-down view for senior management to understand the various market risks across the trading and banking landscape that Unity Bank is exposed to; including highlighting material risks whether they are driven by individual trades or caused by concentrations or market liquidity concerns.

- Responsible for the oversight of daily market risk activities including but not limited to trade booking, trade valuation, market price gathering, P&L, and VaR reporting

- Maintain and review MTM, exposure, and P&L by the deal, portfolio, region, and strategy

- Asset Class based assessment- MRM analyses the various asset class/es and provides a commentary across all relevant risk metrics and market data optimization.

- Oversee calculations for P&L and VaR attribution, understand the drivers and provide an explanation to the movements as well as perform back testing

- Analyse market data, positions, Value-at-Risk (VaR), Profit and Loss (P&L), Independent Price Verification (IPV) process of flat price and non-linear positions

- Administer the month-end and quarter close activities related to market risk disclosures

- Oversee and administer the onboarding of new counterparties

- Support daily reporting activities relating to third parties

- Liaise with IT teams to lead and manage process improvement/simplification initiatives

Policy Framework: In collaboration with the Markets Team, MRM designs the risk appetite and risk identification frameworks ensuring a consistent adoption of industry leading standards.

MRM MIS Production - Oversee risk position data validation, calculation and reporting of all official market risk exposures, this includes identification of the top and emerging risks, summarizing the key changes in all portfolio metrics in a manner suitable for senior management consumption;

Experience/ Exposure:

- 10+ years' experience in Market Risk within the Financial Market / Investment Banking industry will be advantageous (other relevant backgrounds e.g. Trading, Product Control, IPV will also be considered)

- Familiarity / experience with key regulatory deliverables and developments in stress

- Strong banking knowledge and experience, including knowledge of more than one traded asset class

- Conversant & interested in macroeconomic / geopolitical events, both current and historical

- Knowledge and experience of Basel III / CRD IV regulatory environment.

- Good understanding of other Market Risk measurement techniques e.g. VaR, RNiV, Economic Capital, IRC etc

- Excellent communication skills; ability to articulate technical and financial topics with all stakeholders

- A reliable team player with the motivation to work in a dynamic and diverse environment

- A committed and motivated individual for self-development and growth

- Strong interpersonal skills and ability to build relationships across different stakeholder groups

- Able to multi-task and deliver under tight deadlines

- Education/ Qualifications such as university degree in Economics, Mathematics or other quantitative subject and Relevant post graduate qualifications e.g. MA, MSc, CFA, FRM would be advantageous

Location : Mumbai