Market Risk Role - ORCA - BFSI

Market Risk - ORCA

Business Unit Overview :

Market Risk Management works to identify, monitor and control the firm's exposure to risk, analyse stress test results, and provide analysis on new products and businesses. Market Risk managers liaise with the risk managers in the trading centers on a daily basis to help manage their market exposure, set & review risk strategies.

Major activities involve daily analysis and interpretation of the results of risk sensitivities; validation of VaR, Incremental Risk Change, Economic Capital numbers and sign-off on the relevant Risk systems & preparation of risk reports for traders and senior business management.

Risk managers are also expected to re-engineer the risk reporting process and provide ad-hoc risk views and drill down analysis of less transparent risks and issues of importance to senior Risk Management/Trading Heads.

Role & Responsibilities of the position in brief :

- To perform analysis of the regulatory and economic risk capital

- Prepare periodic reports generated for analysis and monitor different risk metrics (eg. VaR, SVaR, IRC, CVA etc)

- Identify the key risk drivers and provide commentaries around it

- Periodically present these reports within Risk and Finance

- To develop tools related to risk optimization/risk analysis. To provide active support in enhancing and maintaining such tools

- Provide necessary support during validation of these tools by Model validation group/ Audit

- Maintain proper documentation of the risk tools developed for risk analysis

Skills :

- Good knowledge of Financial Products, Financial Markets, Economics

- Strong understanding of Market Risk (additional understanding of Credit Risk is an added advantage)

- Background in a numerical discipline: engineering; math; science; etc.

- Good understanding of Excel, VBA plus programming skills

- Knowledge of derivatives valuation and risk modelling is highly desirable