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Team Leader - Market Risk

Waytogo Consultants Private Limited
Mumbai Mumbai City Maharashtra, Maharashtra, India
Competitive Salary
Closing date
Nov 29, 2021

View more

Job Role
Salary Range
United Kingdom - GBP - £
Contract Type
Full Time
Level of qualification
Qualified, CIMA
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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)
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