CVA Market Risk Professional - Investment Bank

We are looking for Candidates who are expert on CVA, XVA, FVA for a Leading Investment bank in Mumbai.

Job Responsibilities

Role & Responsibilities of the position in brief:

- Prepare / Develop periodic reports for analysing and monitoring P&L and various risk metrics (eg. VaR, SVaR, Economic Capital, Risk Sensitivities etc) for the desk and provide insightful commentaries around major P&L and risk profile changes to senior RMs on a regular basis

- Perform analysis around higher order risks (Cross Gamma) and stress testing

- Review the Economic Capital and Regulatory Capital umbers in the risk systems, provide sign off along with appropriate commentaries and monitor movements in Basel III ACVA capital charges for the firm and identify major drivers and Perform ad-hoc ACVA capital impact analysis

- Estimate capital parameters used to calculate economic capital for the CVA desk

- Develop tools related to risk analysis and provide active support in enhancing & maintaining such tools