Market Risk - Treasury - Mumbai

Job Description:

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.

• 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 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.

• Performperiodic Internal validation of pricing/valuation/counterparty risk/VaR/CVA/market risk models used for all portfolios – Fixed Income, Forex, Derivatives etc. The candidate will also coordinatethe 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, 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 Risksin 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

Qualifications& Skills:

• CA or MBA (Finance) or Masters in Markets/Finance etc
  • Professional designations like FRM/CQF/PRM/CFA Charter holders etc would be viewed favourably

• Proficiency in valuation & risk calculations of financial instruments (especially Interest Rate and Forex Derivatives).

• Deep understanding of financial markets and the impact of market and economic environment on treasury portfolios.

• Ability to analyse, summarize and present analysis

Experience:

• At least 8 years of experience in similar functions (Structuring/Market Risk etc)