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