Director - Financial Risk Management - IT

- Financial instrument valuation

- Market risk/Credit risk management

- BASEL II/ III implementation

- Implementation of treasury and market/credit risk systems

- Risk modelling and quantitative advisory services

- Performance attribution and analysis

- Strengthening credit appraisal processes and associated policies, processes, reporting mechanisms and

- Development of credit rating / scoring methodologies

- Assistance in development of IRB models (PD, LGD, EAD etc.) and transitioning to IRB under Basel III

- Assistance in defining stress testing frameworks

- Impairment testing under IFRS 9 and model development

Key areas of responsibility:

 - Undertake independent valuations of financial instruments to validate valuations undertaken by clients and relevant valuation models

- Engage with clients to understand specific problem areas and deficiencies, if any, pertaining to market & credit risk management

- Conduct reviews of market risk management framework, including qualitative elements such as policies, limit management, MIS & reporting frameworks etc.

- Assist clients in strengthening market & credit risk management framework to comply with regulatory requirements and industry leading practices

- Recommend remedial action steps to address gaps identified

- Develop policies, procedures and associated documents for market risk management frameworks

- Develop capital computation methodologies under Basel II standardized and IRB approaches and facilitate the transition of banks from Standardized to IRB approach

- Develop / validate risk measurement models for market & credt risk management, including models for NOP, VaR, PV01, Expected Shortfall, Greeks, credit rating, retail scorecards, PD, LGD, EAD, M etc.

- Candidate should have knowledge and understanding of the products traded in the Indian financial markets and their valuation methodologies.

- Candidate should have thorough understanding of financial derivatives for Interest Rate and FX asset classes. Should have knowledge of basic valuation techniques for interest rate swaps, FX options and forwards.

- Understanding of market risk quantification methodologies (VaR, Expected Shortfall, Stress Testing etc.) is essential, including knowledge of capital calculation methodologies under Basel II / III

- Should have hands-on experience of using statistical tools such as SAS, R, MATLAB, FINCAD etc. Knowledge of programming on VBA, C++/Java, etc. and experience of market risk systems (Reuters, Bloomberg, Murex, SAS, Numerix etc.)would be a strong advantage.

- Assist in implementing credit risk models developed in credit risk management systems like SAS, OFSAA etc.

- Undertake IFRS 9 impairment testing activities and develop models required for the same. Assist in validation of models where required to confirm adherence to IFRS 9 requirements.