Market Risk Portfolio Analyst

Duties and Accountabilities

The position of Market Risk Portfolio Analyst is based in Chennai where the incumbent will be part of the quantitative analytics team and will report to the Manager – Market Risk unit under the Market & Counterparty Risk Group. Specific accountabilities will include the following:

- Market Risk, which covers ALM, interest rate, spread (funding and investments) and FX risk, and the availability/cost of or access to ready liquidity and long-term funding, and Commercial (i.e. not sovereign lending) Credit Risk, which includes risks to the Bank resulting from changes in creditworthiness of Bank's commercial counterparties.

- Perform complex portfolio- and security-level analysis and modeling of market risks, including data analysis and calculation of risk metrics.

- Perform daily market risk reporting, limits monitoring, trend analysis. Research and report on key changes.

- Develop data analysis processes and capabilities to support high level quarterly and monthly management reporting on risk and risk attribution, including sensitivity analyses.

- Develop complex program models to extract data and use databases to provide statistical and financial modeling. Perform project work on automation and data capture initiatives.

- Research and follow up on queries regarding portfolio risk and risk factors including portfolio composition, market changes and changes to analytical methods.