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12/12 Suhas
Principal Consultant at Career Inflections

Views:2310 Applications:362 Rec. Actions:Recruiter Actions:148

Market Risk Role - Bank (3-12 yrs)

Mumbai Job Code: 1017925

Client is a well known Pvt sector Bank and is rated among its peers.

The role is across all levels; based on work exp

Role Specs :

- Monitoring and Reporting of several Risk Parameters (Limits) VaR, PV01, Stop-Loss, AGL, NOOP etc, on real time/daily basis.

- Market risk capital charge calculation as per Basel II and Basel III.

- Developing relevant Stress scenarios and testing the trading and banking books under these scenarios at fortnightly intervals.

- Review and amendments to the Market Risk Management Policy & Counterparty Exposure policy (Counterparty Exposure limits fixing and monitoring).

- Handling Statutory, Concurrent and RBI audits. Responsible for Market Risk Management functions.

- Responsible for monitoring and analyzing sensitivities

- Responsible for keeping close watch on financial markets and carrying out impact analysis on Bank portfolios

- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.

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

- Defining stress scenarios and stress testing methodologies

- Conducting Backtesting and Performing root cause analysis for Backtesting exceptions domain including FRTB and IND-AS and shall lead system implementation for the same

- Timely submission Regulatory and internal daily and periodical analysis and Board memorandums

Candidate Specs:

- Strong experience in Market Risk Management role in Banks.

- Must possess a comprehensive understanding of Market Risk Management, Treasury products, valuation methodology, Sensitivities, VaR, CVA/DVA etc.

- Well versed with working knowledge of Basel and IMA /FRTB requirements.

- Familiarity with Calypso and SAS will have additional advantage

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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