Market Risk - M4/M5/M6 - Mumbai-BKC

Job Description:

 Work as Key resource for the management of Market Risk of the Bank (portfolios include
Fixed Income, Foreign Exchange, Derivatives, Commodities etc).
 Contribute towards the design and calibration of the Bank’s Market Risk Appetite, Market
Risk Limit Framework & limit-levels.
 Continuously & proactively identify new emerging risks or vulnerabilities in the existing risk
management framework. He/she must initiate projects and collaborate with other
departments to mitigate these risks.
 Evaluate new Treasury Products and Structures and advise management on the risks,
controls, limit-structure & limit-levels, valuation etc. Quick Turnaround time is expected.
 Perform continuous monitoring of the Market Risk in the Bank’s Treasury portfolio and in
the market environment and provide timely recommendations 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, Fixed Income & Forex portfolios.
 Perform periodic Internal validation of pricing/valuation/counterparty risk/VaR /market risk
models used for all portfolios – Fixed Income, Forex, Derivatives etc.
 Represent Risk Management & contribute to projects like the implementation of new Capital
approaches like FRTB, SA-CCR etc.
 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.
 Lead & contribute to the implementation of IT projects from Market Risk perspective.
 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