Chief Manager/Senior Manager - Trading Risk/Market Risk - Bank

Job Title : Chief Manager/Sr.Manager - Trading Risk/Market Risk Analyst

Business Unit : Risk

Job Description :

- Calculation of VaR

- 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.