Reporting to the Head of Market Risk, the candidate will:
• Work as Key resource for the management of Market Risk of the Bank (portfolios include Fixed Income, Foreign Exchange, Derivatives, Bullion etc).
• Contribute towards the design and calibration of the Bank's Market Risk Appetite, Market Risk Limit Framework & limit-levels.
• Perform continuous monitoring of the Market Risk in the Bank's Treasury portfolio and in the market environment and provide timely advice to for the mitigation of Market Risk and Operational risk in Treasury.
• Recommend & Set-up valuation methodologies, valuation curves & risk models for Fx & Interest Rate Derivatives (including exotic derivatives), Fixed Income & Forex portfolios.
• Perform periodic Internal validation (in MS Excel) of pricing/valuation/counterparty risk/VaR/CVA/market risk models used for all portfolios - Fixed Income, Forex, Derivatives etc. The candidate will also coordinate the External Validation of all valuation & risk models.
• Represent Risk Management & contribute to projects like LIBOR transition and lead implementation of new Capital approaches like FRTB, etc.
• Evaluate new Treasury Products and Structures and advise management on the risks, controls, limit-structure & limit-levels, valuation etc. Quick Turnaround time is expected.
• Risk analysis and Stress testing of the Bank's Treasury portfolios and recommending risk mitigation measures to Management.
• Assist in the setting up of the risk management framework and mitigation of Operational Risks in the Treasury division of the Bank.
• Evaluate Treasury Processes from Operational Risk perspective and ensure that adequate risk mitigation has been incorporated.
• Periodic Market Risk updates to ALCO, Risk Management Committee etc in the form of presentations, Notes etc.
• Liaison with Audit and Regulators for Market Risk.
Looking someone with experience in valuation-derivatives
Skills: Market Risk Analyst
Experience: 3.00-8.00 Years
Education: Master OF Business Administration (M.B.A), Chartered Accountancy (C.A)