We are looking for a Market Risk professional for a Bank in Mumbai

Responsible for Market Risk Management functions

- Responsible 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,

- 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

- 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.

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

- Validation of market data / derived market data and positions for valuation and risk analysis

- P&L contribution analysis based on first and second order sensitivities and underlying market movements

- In depth understanding of advanced products like, Barrier options, Digitals, caps & floors, CDS, CLN etc including its valuation.

- Shall have granular understating of latest regulatory developments in market risk domain including FRTB and IND-AS.

- Shall be exposed to Market Risk System implementation.

- Responsible for RBS submission related to market risk data to RBI

- Handling Audit queries and providing active assistance in audit

- Responsible for timely submission Regulatory and internal daily and periodical analysis and Board notes

Educational / Professional Qualifications :

- MBA (Fin.)/CA preferably with Mathematics or Statistics as one of the major subject at graduation / post-graduation level;

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

Technical Knowledge

- Familiarity with Calypso and SAS will have additional advantage

- Strong analytical and problem solving skills.

- Proficient with MS Excel and Excel Macro

- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality

Monika

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