Risk Manager (Market Risk)

Role & responsibilities

Key Responsibilities

1 Maintain oversight over market risk function for FX, Derivatives, Fixed Income and Equities

2 Review valuation methodology for various treasury products including FX and Derivatives on a regular basis and perform periodic validation to ensure valuations are in accordance with regulatory guidelines and market practises.

3 Review computation methodology for various risk measures like VaR, Pv01, duration, greeks, etc and validate them periodically.

4 Perform periodic review of the internal PFE models used for counterparty credit risk monitoring and suggest changes/enhancements.

5 Undertake system enhancements related to market risk in SAS Market Risk system and Calypso Treasury application.

6 Undertake periodic review of various treasury policies as and when required.

7 Conduct Stress Testing for market risk and periodically review the stress testing framework

8 Monitor and analyse market trends, financial indicators and regulatory developments to identify potential risks to the bank

9 Manage computation of Market Risk Capital Charge under Basel III including Off Balance sheet exposure and CVA charge.

10 Computation of prudential valuation adjustments under Basel III including but not limited to illiquidity charge, Incurred CVA, etc.

11 Provide timely insights to top management, prepare board notes and other regulatory returns

Preferred candidate profile

Essential

Minimum experience of 2-3 years of derivatives valuation, curve constructions and market risk management

Preferred

Experience of FRTB, SA-CCR and counterparty credit risk