Vice President - Market Risk - BFSI

- Responsible for Market Risk Management functions and leading team performing

- Responsible for keeping Market Risk policy updated

- Responsible for configuration and leading team for valuation & review of Treasury portfolios - Forex, Fixed Income, Derivatives, Equity and others products

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

- Responsible for keeping close watch on financial markets and carrying out impact analysis on Bank portfolios

- 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

- Conducting Back testing and Performing root cause analysis for Back testing exceptions

- Guiding team to compute 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 and advanced approach.

- Understanding and implementing advanced analysis like CVA, PFE, FRTB etc

- Overall responsible for market data / derived market data and positions for valuation and risk analysis

- Responsible for computation of P&L and contribution analysis for all trading portfolios

- In depth understanding of advanced products like, Barrier options, Digitals, caps & floors, CDS, CLN etc including its valuation and shall lead implementation of such products

- Shall possess deeper understating of latest regulatory developments in market risk domain including FRTB and IND-AS and shall lead system implementation for the same

- Hands on experience in Market Risk System and Treasury system implementation is preferred