Market Risk Analyst
- Indusind Bank
- 3 - 8 years
- Mumbai
- 17 days ago
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Job Description
JOB DESCRIPTION
Department : Risk Management Group
Section : Market Risk Group
Desired Experience
Experience in Market Risk Management in Domestic Banks, Indian Branches of Foreign Banks, Risk Consulting. Candidate shall possess comprehensive understanding of Market Risk management and MR framework, Treasury products, Valuation methodologies, Sensitivities, VaR etc. Candidate shall possess working knowledge of Basel and IMA/SIMM/FRTB requirements.
Responsibility Areas
Responsible for Market Risk Management functions
- Responsible for valuation & review of Treasury portfolios Forex, Fixed Income, Derivatives, Equity and structured products.
- Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio.
- Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, Stress testing frameworks.
- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.
- Defining stress scenarios and stress testing methodologies and its enhancement.
- Conducting Back testing and Performing root cause analysis for Back testing exceptions
- Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes and Computation of Market related off market Credit Exposure as per standardized approach and advanced approach.
- Understanding and implementing advanced analysis like CVA, SIMM, PFE, FRTB etc.
- Validation of market data / derived market data and positions for valuation and risk analysis
- P&L contribution (Attribution) analysis based on first and second order sensitivities and underlying market movements
- In depth understanding of advanced (Structured) products like, Barrier options, Digitals, caps & floors, CDS, CLN etc. including its valuation and risk profile.
- Shall have granular understating of latest regulatory developments in market risk domain including FRTB, SIMM and IND-AS.
- Shall be exposed to Market Risk System implementation.
- Responsible for RBS submission related to market risk data to RBI
- Handling Audit queries and providing active assistance in audit
- Responsible for timely submission Regulatory and internal daily and periodical analysis and Market risk submission to RMC and Board.
- Counterparty credit exposure under RBI regime including bilateral netting and SA-CCR
- Should have exposure and understanding on LIBOR transition exposure assessment, its impact and Valuation and Risk assessment post demise of LIBOR.
Skill Set
Educational / Professional Qualification
Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM.
Risk Management qualification like FRM / PRM or CFA will have an added advantage.
Technical Knowledge
- Familiarity with Calypso and SAS will have additional advantage
- Strong analytical and problem solving skills.
- Proficient with MS Excel and Excel Macro
- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.
- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.
- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality
- Worked in Indian Banks/ Indian Branches of foreign Banks
- Understanding of R / Python would be an added advantage.
Please reach out on Si**********1@gm**l.com
Job Classification
Industry: Financial ServicesFunctional Area / Department: Risk Management & ComplianceRole Category: BusinessRole: Chief Risk Officer (CRO)Employement Type: Full timeContact Details:
Company: Indusind BankLocation(s): Mumbai
Keyskills: Market Risk Management Market Risk Risk Reporting Risk Monitoring VAR Stress Testing Value At Risk
Indusind Bank
\n\nBandhan Bank Ltd. is an Indian banking and financial services company, headquartered in Kolkata, West Bengal. Bandhan Bank is present in 34 out of 36 states and Union Territories of India. Presently Bandhan Bank has 5,371 banking outlets pan-India serving more than 2.30 crore customers. On 17 Ju...
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