Business Group : Market Risk Management Group.  Location : Mumbai  MRMG is responsible for the formulation of market and liquidity risk policies and limit structure and formulation of market risk measurement methodologies. It is also responsible for development/validation of valuation models and the monitoring and reporting of market risk positions. The group is also involved in the migration to internal models approach for market risk capital calculation under Basel Framework, the ICAAP process, credit exposure estimation and margining framework.  The purpose of the Job :  Formulation of policies pertaining to the trading book activities, liquidity and interest rate risk management in the banking book  Valuation of fixed income and derivative products  Formulation and carrying out market & liquidity risk stress testing  Carrying out ALM analytics for compilation of ALM statements  Engagement with external firm on independent model validations  Reporting of ALM profile, risk positions, credit exposure of derivatives to Committees  Implementation of new regulations on SACCR, FRTB, Ind-AS accounting standards  Key skills :   In- depth knowledge of concepts in finance and market risk management  Analytical skills and problem-solving capabilities   Process-oriented with good interpersonal skills  Well versed with MS excel. Prior experience with treasury systems would be an added advantage  Gauravi Human Resources

Mumbai

ICICI Bank - Finance Professional - Market Risk Management Group 

Job Description for ICICI Bank - Finance Professional - Market Risk Management Group  in ICICI Bank in  Mumbai for (2-9) years of experience. Apply Now!