Manager/Senior Manager/AVP - Risk Management/Market Risk/ALM - Bank

We are looking for a Manager / Senior Manager / AVP - Risk Management Team (Market Risk / ALM ) for a well-established MNC Bank. The position will be based at Mumbai.

JOB Profile -

- To compute Market Risk Capital charge for all types of investment including Derivatives as per Basel III guidelines

- To prepare Market Risk related statement as per RBI guidelines such as Structural Liquidity Statement, Liquidity Return, Interest Rate Risk, ALE, IBS etc.

- To compute and maintain Forex Net Overnight Position, Aggregate Gap, Value at Risk, PV01 as per RBI guidelines.

- To prepare FTD, GPB statement for submission to RBI on daily basis

- To analyse various Market related reports on daily basis like Value at Risk, Back testing, sensitivities, impact analysis, conducting stress test, computation and analysis of various Market Risk related Ratios.

- To handle derivative valuation including Currency Swaps, IRS.

- To have good Excel skills, and well versed with the procedures for extracting various market rates from Reuters /Bloomberg.