The Department : Wholesale and Market Risk (WMR) is the central point for matters relating to traded credit and market risk within the Group. This includes the design, development and implementation of traded credit and market risk policy and systems. WMR is also responsible for reporting the Group's consolidated market risk exposures and has a delegated authority from the Group's Risk Management Meetings (RMM) to approve market risk limits throughout the Group. The Role : The purpose of the role is to produce consolidated Traded Credit risk, market risk and Value-at-Risk (VaR) information daily for senior Group and Global Banking and Markets executives. The successful candidate will work closely with the on-shore team in London, to carry out the following activities: - Preparation and analysis of accurate and timely daily market risk and VaR reports for senior management - Analyze and provide commentary on changes to risk exposures on a daily basis - Track the daily market risk returns from all trading entities, and liaise with regional market risk managers and finance functions to resolve any data issues in the daily returns - Finalize the daily Group VaR for both internal and external reporting purposes - Perform daily VaR back-testing at the Group level for internal and regulatory reporting - Prepare monthly reports on Back-testing for the Model Validation Review meetings - Tracking the market risk limit excesses submitted by the sites, and the preparation and review of limit excess reports for senior management review - Administration of limit amendment procedures, that requires the accurate tracking and timely maintenance of regional and site limit records - Monthly production of material limits amendments and excesses for the Business Control Committees - Preparation of monthly risk management papers for the Markets Risk Management Committee - Preparation of Issuer Risk reports, EAD reports and other Credit Risk reports - Perform various UATs with respect to the Risk systems and provide signoff on the functional aspect - Other analyses will be needed on an ad hoc basis, and familiarity with a variety of sources of information - internal and external - is necessary. For example analysis of data histories held on internal risk systems or Bloomberg - Deal promptly with ad hoc questions on risk-related information, investigate any apparent data discrepancies and resolve as necessary Knowledge, Skills and Experience requirement : - Qualification in finance, accountancy, business management or previous experience in risk management (Market Risk and Credit Risk) is essential - Experience range of 9 to 11 yrs - Highly competent in the production of information, and the ability to process and analyze large volumes of data - Excel and VBA skills are a pre-requisite - A detailed understanding of the credit risk measures like PD, EAD, LGD, Expected Loss, Unexpected Loss and credit risk concepts like counterparty credit risk, credit derivatives - Understanding of market risk measures such as present value of a basis point (PVBP) and VAR, or detailed understanding of the valuation of capital markets and derivative products is essential

Bangalore

HSBC - AVP - Market Risk Aggregation 

Job Description for HSBC - AVP - Market Risk Aggregation  in HSBC in  Bangalore for (9-11) years of experience. Apply Now!