VP - ICAAP - Market Risk - BFSI

The job entails working in the Market Risk ICAAP team to assess the adequacy of the Pillar 1 market risk capital of the bank. The role requires around 5-7 years- experience in the market risk area with good command of market risk for at least two asset classes. The ideal candidate shall have thorough knowledge of risk and scenario analysis, various Value at Risk methodologies, limitations of risk based scenario compared to full revaluation, modelling aspects of various equities and fixed income asset classes etc.

The job is within Market and Liquidity Risk Management and hence a fundamental understanding of various risk management tools is expected.

The candidate should have strong technical skills and knowledge of various pricing, market data and risk models along with understanding of the limitations of various models.

Some understanding of regulatory capital, internal capital and their relationship and differences would be beneficial.

Candidate MUST HAVE FOLLOWING EXPOSURE:

- The candidate should have excellent knowledge of market risk with experience in at least two asset classes

- The candidate should have strong knowledge of risk management tools and analysis

- The candidate should have good hands on experience of explaining market risk models and related risks, their limitations etc.

- The candidate should have good fundamental knowledge of markets and their implication on market risk management

- The candidate should have experience of scenario design, analysis etc.

- The candidate should have some knowledge of regulatory capital, internal capital etc.