jobseeker Logo
Now Apply on the Go!
Download iimjobs Jobseeker App and get a seamless experience for your job-hunting
12/07 Suhas
Principal Consultant at Career Inflections

Views:1504 Applications:265 Rec. Actions:Recruiter Actions:146

Market Risk Role - Bank (3-12 yrs)

Mumbai Job Code: 949604

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

Women-friendly workplace:

Maternity and Paternity Benefits

Add a note
Something suspicious? Report this job posting.