Market Risk Management Role - BFS

Market Risk - Risk Management

- 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.