Our client is a Bank and we are looking for a Market Risk professional to be part of the Risk Management function. We are looking for someone with Experience in VaR estimation and Backtesting, P&L attribution, Counterparty Credit Risk (CCR), Market risk stress testing, Independent Price Verification (IPV) and Valuation of derivative instruments, CVA/ DVA adjustments, Variation margin for bilateral ISDA-CSAs, Margining for assets backed by financial collateral. 

The broad Job Specifications / Responsibilities are as follows :

Valuations and Model Validation in Murex - 

- Validating the Murex configurations for valuations, sensitivities and risk measurement for various Front office requirements.

- Model incorporation and validation for any newly introduced product in the Bank

- Validation of PL Variance attribution module for trading portfolios of the Bank

- Validation of VaR model Backtesting through PL Variance module

- Valuations and Independent Price Verification (IPV) of forex & derivative products

- Back testing of VaR model, analysing the reasons for backtest exceptions and reporting to ALCO on the exceptions observed.

- Liquidity estimation for Variation margin requirements with Interbank counterparties using VaR module

- Utilisation of VaR scenarios for stale and spike market data check

- Standard and Basis Rate curve configurations using the actively traded instruments and business requirements

- Off market check and Rate scan of derivative deals using VaR module ICAAP and Stress testing:

- Identification of key risk factors in the trading portfolios of the Bank and Group companies, Calibration of stress scenarios for market risk factors, designing the methodology and analysing the stress impact on capital of the Bank and Group.

- Stress testing based on Regulatory guidelines (RBI, MAS) and impact analysis.

- Reporting of periodic stress test results and dynamic risk analysis of derivative portfolio to senior management, ALCO and Risk committee.

Counterparty Credit Risk:

- Migration of Counterparty Credit Risk exposure computation from Current Exposure Method (CEM) to SA-CCR

- CVA/DVA adjustments for derivative portfolio for IND-AS, US-GAAP and capital requirements.

- Variation margin exchange setup for bilateral CSA Interbank counterparties, Counterparty MTM analysis and reconciliation on periodic basis

Derivative limit setup for corporate clients and margining framework:

- Margining framework of structured and leveraged products against financial collateral

- Computation of liquidity volatility multipliers for foreign currency bonds and volatility multipliers for capital and provisioning requirements

Monika

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