AVP - Market Risk - Bank

AVP - Market Risk

- An exciting opportunity to join a high visibility Market Risk Quantification team in Mumbai, within the Securitized Products (SP) franchise.

- Market Risk Quantification team is mandated to deliver core market risk functions including, daily review and analysis of risk and capital metrics for business line and portfolio, portfolio deep-dives, pre-trade analysis and host of ad-hoc risk analytics functions.

- The role offers excellent learning and career growth opportunities, interaction with cross-regional departments across Chief Risk and Compliance Org (CRCO), and interface-with senior risk managers.

CRCO Division:

- The Chief Risk and Compliance Officer (CRO) Division acts as guardian of the bank's risk appetite and provides effective and independent risk oversight; Challenge and proactively engage with the business in shaping its risk profile, strengthening the first Line of Defense (LoD) and aligning its strategy execution with shareholders' and regulatory requirements.

- Maintain a comprehensive bank-wide risk appetite framework and run well-controlled risk processes ensuring an effective bank-wide second LoD.

- Provide partners with clarity on all risk-related matters and ensure timely assessment and escalation.

- Continuously strengthen the risk function by attracting, developing and retaining top talents and cultivate continuous learning throughout the organization.

Primary Responsibilities:

- This role would be part of the team responsible for covering the Global finance businesses within Securitized Products (SP), with annual revenues of $1bn+.

- The applicant will need to have exposure to risk management fundamentals, strong verbal and written communication skills combined with an understanding of financial markets.

- Exposure to Market Risk RWA concepts and P&L attribution or strong quantitative background will be an advantage.

The role is responsible to deliver the following critical functions for SP business:

- Analysis and sign-off on key capital metrics (VaR, SVaR, IRC and RNIV) for the portfolio

- Analyze key risk and position moves and provide commentary where necessary

- Ensure accurate risk capture, in conjunction with reporting, IT and market data teams

- Analysis of limits and flags utilizations, and highlighting any trends not in line with risk appetite

- Assist with ad hoc analytics and projects including impact testing, PTA analysis, methodology review and data quality remediation projects

Your future colleagues:

- You will be a part of a team having age, cultural and gender diversity. Ideas, thoughts and opinions are openly discussed/effectively communicated to keep track of the progress and working efficiently together on tasks.

- The team members have a sense of belonging, are supportive who contribute their fair share and fully understand their responsibilities. We enjoy each other's company in office and also get together outside of office to socialize from time to time having some great fun.

- We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global cultural values.

Qualifications:

To excel in this role, you should possess:

- Experienced Market Risk Professional with outstanding analytical acumen together with the social skills

- Graduate or post graduate degree in Finance, Economics, Engineering or other numerate field is essential

- 4 to 9 years of market risk experience, preferably in SP, Credit, Rates or Equities asset class; alternately experience in managing asset back financing risk can be preferred

- Proven experience with Value at Risk (VaR), IRC or Risk Not in VaR (RNIV) models

- Experience and knowledge of Financing products like Repo, TRS or Securitized collateral risk will be preferred, while experience in credit products such as Credit Default Swaps, corporate bonds, credit indices, credit index swaptions along with their PL/risk drivers such as interest rate, credit spread, volatility will be a definite plus

- Self-starter, attention to detail and positive attitude

- Outstanding written and verbal communication skills

- CFA or FRM certification a plus

- Dedication to fostering an inclusive culture and value diverse perspectives