Position Title : Market Risk (depending on number of years relevant work experience)

Department : Risk Management Group

Reports To : Head - Market Risk Section : Market Risk

DESIRED EXPERIENCE -

Candidate shall have 5 - 10 years of experience in Market Risk Management in Domestic Private Sector Banks, Indian Branches of Foreign Banks, Public Sector Banks, Risk Consulting. Candidate shall possess comprehensive understanding of Market Risk management and Risk framework, Treasury products, Valuation methodologies, Sensitivities, VaR, Back Testing, Stress testing, Credit Exposure, etc. Candidate should also possess knowledge of Basel and IMA/SIMM/FRTB requirements.

Responsibility Areas

Responsible for Market Risk Management functions

- Review of Market Risk, Product policies, etc. in line with the ever changing regulatory scenarios and in line with leading industry practices.

- Determination of Market Risk appetite.

- Responsible for valuation & review of Treasury portfolios - Forex, Fixed Income, Derivatives, Equity and structured products.

- Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio.

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

- Defining stress scenarios and stress testing methodologies and its enhancement.

- Conducting Back testing and Performing root cause analysis for Back testing exceptions including statistical back testing.

- Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes and Computation of Market related off market Credit Exposure as per standardized approach and advanced approach (SA-CCR).

- Understanding and implementing advanced risk analytics such as CVA, SIMM, PFE, FRTB, etc.

- Validation of market data / derived market data and positions for valuation and risk analysis

- Conducting P&L contribution (Attribution) analysis based on first and second order sensitivities and underlying market movements

- In depth understanding of advanced (Structured) products like, Barrier options, Digitals, Swaption, Caps & floors, CDS, CLN etc. including its valuation and risk profile.

- Shall have granular understating of latest regulatory developments in market risk domain including IND-AS.

- Should be exposed to Market Risk System implementation.

- Responsible for RBS submission related to market risk data to RBI in line with RBI expectations.

- Responsible for handling Audit queries and providing active assistance in audit

- Responsible for timely submission of Regulatory /Internal daily and periodical analysis and Market risk submission to RMC and Board.

- Counterparty credit exposure under RBI regime including bilateral netting and SA-CCR

- Should have exposure and understanding on LIBOR transition exposure assessment, its impact and Valuation and Risk assessment post demise of LIBOR.

- Setup of Valuation and Risk for new products across Treasury and Risk management system

- Enhancing process and policies in line with the Industry best practice and RBI/regulatory expectations.

- Hedge Effectiveness testing and review.

- Market Risk management committee support and related work including Agenda & Presentation, Action Points & Minutes

- Proactive Market Risk management.

SKILL SET

Educational / Professional Qualification Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM.

Risk Management qualification like FRM / PRM /CFQ or CFA will have an added advantage.

Technical Knowledge

- Familiarity with Murex / Calypso / SAS will have additional advantage

- Strong analytical and problem solving skills.

- Proficient with MS Excel and Excel Macro

- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality

- Understanding of R Studio / Python would be an added advantage.

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