Management Trainee - Market Risk - Commercial Bank - CA

Employer : Leading commercial Bank

Profile : Market Risk

Designation : Management Trainee(MT)

Location : Mumbai

Position Purpose:

The role will be to manage market risk for the bank's treasury team with focus on valuation of treasury products like derivatives & bonds. The candidate will be primarily responsible for validating valuation methodology including risk measures like VaR, PV01, Option Greeks, etc for various treasury products in bank's treasury system and risk system. Candidate will also be involved in regulatory capital computations for market risk as per Basel III framework.

Position Responsibilities:

1. Maintain oversight over market risk function for FX, Derivatives, Fixed Income and Equities

2. Review valuation methodology for various treasury products including FX and Derivatives on a regular basis and perform periodic validation to ensure valuations are in accordance with regulatory guidelines and market practises.

3. Review computation methodology for various risk measures like VaR, Pv01, duration, greeks, etc and validate them periodically.

4. Perform periodic review of the internal PFE models used for counterparty credit risk monitoring and suggest changes/enhancements

5. Undertake system enhancements related to market risk in SAS Market Risk system and Calypso Treasury application

6. Undertake system enhancements related to market risk in SAS Market Risk system and Calypso Treasury application

7. Undertake periodic review of various treasury policies as and when required.

8. Conduct Stress Testing for market risk and periodically review the stress testing framework

9. Monitor and analyse market trends, financial indicators and regulatory developments to

identify potential risks to the bank

10. Manage computation of Market Risk Capital Charge under Basel III including Off Balance sheet exposure and CVA charge.

11. Computation of prudential valuation adjustments under Basel III including but not limited to illiquidity charge, Incurred CVA, etc.

12. Provide timely insights to top management, prepare board notes and other regulatory returns