AVP/DVP/VP - Market Risk - Bank - CA/IIM/IIT

AVP / DVP / VP - Market Risk

Candidate shall have 8 - 15 years of experience in Market Risk Management in Domestic Private Sector Banks, Indian Branches of Foreign Banks, Public Sector Banks, Risk Consulting. Candidate shall possess comprehensive understanding of Market Risk management and Risk framework, Treasury products, Valuation methodologies, Sensitivities, VaR, Back Testing, Stress testing, Credit Exposure, etc. Candidate should also possess knowledge of Basel and IMA/SIMM/FRTB requirements.

Responsible for Market Risk Management functions:

- Review of Market Risk, Product policies, etc. in line with the ever changing regulatory scenarios and in line with leading industry practices.

- Determination of Market Risk appetite.

- Responsible for 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 and advanced approach (SA-CCR).

- Understanding and implementing advanced risk analytics such as CVA, SIMM, PFE, FRTB, etc.

- 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

- In depth understanding 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.

- Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM.

- Risk Management qualification like FRM / PRM /CFQ or CFA will have an added advantage.