Head - Market Risk - Bank

About Our Client: 

Our client is one of the leading and fast growing domestic banks in India, with significant presence across retail and wholesale banking.

Job Description:

Reporting to the Risk Head, you will be responsible for:

- 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, Backtesting 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.

The Successful Applicant:

You will be a qualified CA or masters in finance with 12-15 years of relevant experience in banking with experience in team management roles. You will also have:

- Good understanding of counterparty risk management on FX & Derivatives

a. RBI guidelines / Basel rules

b. International best practices

- Experience in financial modeling, application of statistics and mathematics in financial /non-financial products

- Thorough understanding of the FX & Derivatives product knowledge including exotic derivatives

a. Pricing & valuation of the products

b. Understanding the structure of the deals

- Ability to communicate effectively with Senior stakeholders in Risk and treasury to explain complex topics and that to a diverse range of audiences

- Risk Management certification: PRMIA, FRM, etc.

What's on Offer:

1. You will be part of a leading domestic bank working closely with the leadership team

2. Best in class compensation + bonus