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06/12 Dheeraj Walia
CEO at Steps

Views:20644 Applications:176 Rec. Actions:Recruiter Actions:18

Chief Manager - Market Risk Analyst - FX & Derivatives Portfolio (2-14 yrs)

Mumbai Job Code: 401000

Need candidates from Banks only

Job Title: Chief Manager - Market Risk Analyst

Location : Mumbai

Educational Qualification : CA/CMA/MBA/PGDM/Master in Finance from premier institute

Job Description :

Must have :

- Valuation of Derivatives, FX options

- Counterparty exposure computation / Counterparty exposure computation

- PFE (Potential future exposure) / CEM (Current exposure method)

Responsibilities :

- Valuation of FX & Derivatives products. Dissecting the trades into different risk components.

- Computation of risk & pay-off profiles for the non-linear products, impact on the overall market risk as well as counterparty's credit risk profile and able to explain the same to the stakeholders. Solving queries on valuation / risk methodology aspects for the proposed deal structures.

- Managing the counterparty credit risk on the FX & Derivatives Portfolio including Methodology implementation for new products/enhancements, Implementation of new RBI guidelines, Testing/UAT pertaining to the methodology aspects in the system.

- Implementing the Simulated PFE as well as CEM methodology for counterparty credit risk, publishing internal PFE grid, Calibration of internal PFE models, Back testing of the Models, coordinating with IT/PDG/CAD team for limit monitoring process under PFE & CEM, Interacting with the Business & Risk on CSA / Netting queries.

- Interaction with consultants & internal model validation team to get the models validated

- Managing the RBI Regulatory Reporting - DSB Return on CEM, Capital Charge for counterparty credit risk.

- Daily publishing of VAR report with commentary on the position and risk movements on different books

- Suggesting Valuation Methodology for Fixed Income, FX & Derivative products

- Review of Risk Management policies & framework

- Regulatory reports on DSB, Market Risk Capital Charge & other risk regulatory reports

- Participating in the system testing of the risk applications.

- Review of RBI & Basel guidelines on Market Risks and proactively presenting the impact on the same to the Senior management

- Reporting on the RBI Risk Based Supervision (RBS)

- Maintaining Key Market Risk Indicators as well as Economic data update and publishing the same to the Senior Management along with the impact on the Bank's portfolio.

An Ideal Candidate should possess :

- Good understanding of counterparty risk management on FX & Derivatives

- RBI guidelines / Basel rules

- International best practices

- Experience in financial modeling, application of statistics and mathematics in financial /non-financial products

- Thorough understanding of the FX & Derivatives product knowledge including exotic derivatives

- Pricing & valuation of the products

- Understanding structure of the deals

- Good understanding of market risk on Fixed Income, FX & Derivative products.

- Experience in valuation of financial products, understanding of sensitivities and Greeks on the financial products.

- Good understanding of the RBI guidelines pertaining to

- Basel III Capital calculations

- Market Risk Capital Charge

- Value at Risk

- Ability to communicate effectively with Senior stakeholders in Risk and treasury to explain VaR & Valuation

- Desirable: Risk Management certification: PRMIA, FRM, etc.

Kindly share your updated resume with following details :

Current Organisation -

Current Designation and Role -

Total Experience -

Relevant Experience -

Qualification -

Current Salary (Kindly mention Fixed+Variable) -

Expected Salary -

HR Grade -

Present Location -

Notice Period -

Reason for Change -

Experience in Market Risk/ Any Relevant Exp ( (if any) -

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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