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01/08 Shruthi Acharya
Senior Manager at Skillventory

Views:173 Applications:35 Rec. Actions:Recruiter Actions:2

Manager/Senior Manager - Market Risk - Bank (2-6 yrs)

Ahmedabad/Gujarat Job Code: 1295402

Hiring for a private sector bank

- Responsible for Market Risk & Liquidity Risk Management functions

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

- Responsible for computation and monitoring of LCR, NSFR, Structural liquidity Statement (SLS), Asset Liability Return (ALR) etc.

- Responsible for liaising with other stakeholders for preparation and submission of various reports (ALR, ALO etc.).

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

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

- Defining stress scenarios and stress testing methodologies.

- Conducting Back testing and Performing root cause analysis for Back testing exceptions

- Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes.

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

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

- Understating of latest regulatory developments in market risk domain.

- Responsible for submission of reports (LCR, NSFR, ALR, ALO etc.) to RBI/IFSCA.

- Responsible for RBS submission related to liquidity risk /market risk data to RBI/IFSCA

- Handling Audit queries and providing active assistance in audit

- Counterparty credit exposure under RBI regime including bilateral netting.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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