Market Risk Management Role (7-20 yrs)

Market Risk Management

- 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 including statistical back testing.

- 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 (SA-CCR).

- Understanding and implementing advanced risk analytics such as CVA, SIMM, PFE, FRTB, etc.

- Validation of market data / derived market data and positions for valuation and risk analysis

- Conducting 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, Swaption, Caps & floors, CDS, CLN etc. including its valuation and risk profile.

- Shall have granular understating of latest regulatory developments in market risk domain including IND-AS.

- Should be exposed to Market Risk System implementation.

- Responsible for RBS submission related to market risk data to RBI in line with RBI expectations.