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Senior Manager/Chief Manager - Market/Trading Risk - Bank (4-9 yrs)
Role: Market/Trading Risk Analyst
Grade: Senior Manager/Chief Manager
Qualification: Chartered Accountant/ MBA/Engineer with FRM, PRMIA, CFA
Work experience: In Market Risk domain of Indian Banks, Indian Branches of Foreign banks, Big 4 Audit firms/Consulting
Role responsibilities:
1. Responsible for reviewing Market Risk policies and ensuring adherence to the approved policies.
2. Ensuring VaR and risk numbers are generated and circulated along with the commentary for change. Complete understanding of VaR and other risk numbers and its impact on the portfolio. Responsible for carrying out VaR back testing analysis.
3. Computation of Credit Exposure under the extant RBI guidelines(CEM/SACCR) and the consequent RBI reporting / Internal reporting on Exposures.
4. Preparation of MRCC for regulatory submission and preparation of various cuts for MIS reporting
5. Taking up new initiatives and implementing advanced Market Risk analysis in SAS system
6. Leading implementation of Ind-AS from market Risk domain which involved CVA / DVA, Hedge effectiveness testing, Market Risk Capital charge computation etc.
7. Carrying out Valuation and Risk estimation including PnL attribution for Treasury Products
8. Conducting Monte Carlo PFE calibration activity including the understanding of the various models and GRID preparation
9. Work toward FRTB implementation
10. Responsible for timely and accurate submission of RBI RBS data points.
11. Rating migration monitoring for the Bond portfolio
12. CSA MTM variation analysis and resolution
13. Ensuring correct market data (RIC- s) attachment for Bond portfolio in treasury system
14. Conducting stress testing as per RBI and Internal guidelines
15. Ensuring data flow from FMC to K+ to SAS is in line
16. Resolving data integrity issues between systems
17. Liaison with concurrent auditors for data submission
18. Reconciliation of MTM flow within the systems
19. Updating and maintaining history for all the risk numbers.
20. Assisting the unit in Market Risk committee pack preparation
21. Assist in preparation of Board and RMC presentations.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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