Manager/AVP - Treasury Market Risk - Mid Office - Bank

Our Client, a Leading Bank is looking out for Manager/ AVP - Treasury Market Risk - Mid Office to be based at Mumbai.

We are looking at MBA with 6-12 years' experience in Treasury Market Risk - Mid Office in a Bank.

Job Description

- Assess risk management systems problems and comply with market risk policies

- Comply with SLA for delivery of risk reports

- Ensure strict compliance of RBI and other regulatory guidelines

- Responsible for computation of Forex Gaps (AGL & IGL) and Positions reports, NOOPL, Country risk and reporting to RBI and Senior Management

- Responsible for Daily and monthly valuation of different Treasury Products (Bonds, FX, derivatives (Interest Swap, Currency Swap option etc) in line with regulatory guidelines.

- Computation and monitoring of various Positions/risk utilisations and strictly adhering to risk management framework of the Bank

- Monitoring Country risk limits and counter party risk limits

- Validation and reporting of Treasury P&L of the Bank

- Responsible for carry out of currencies rate-scan and other control checks set up by the middle office team

- Active coordination with Treasury Front office, Back-office operations, Audit and IT for the above responsibilities

- Aptitude for picking up additional responsibilities within the department

- Gather Latest Market intelligence and track and benchmark against best practices in competitor banks

- Audit: - Ensuring compliance with regulatory requirements pertaining to Market Risk including forex risk (RBI Audit, Concurrent Audit, HO Audit and Statutory Audit).

- Policies: - Review and maintenance of Market Risk management Policy and Stress Testing Policy.

- Computing and Monitoring VAR limits for all investment products including FX exposure.

- Capture and share best- practice knowledge amongst the team

- Should understand Treasury products, Debt and Forex markets, risk sensitivities and factors

- Should be proficient in Excel

- Knowledge and implementation of Treasury/Risk systems would be an advantage

- Certification in Forex domain will be preferred.