Assistant Vice President - Market Risk (PSS05957)

Responsible for Market Risk Management functions

• Review of Market Risk, Product policies, etc. in line with the ever-changing regulatory scenarios and in line with leading industry practices.
• Determination of Market Risk appetite.
• 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, and 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 their enhancement.
• Conducting Backtesting and Performing root cause analysis for Backtesting exceptions including statistical backtesting.
• 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 a granular understating of the latest regulatory developments in the 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.
• Responsible for handling Audit queries and providing active assistance in audit
• Responsible for timely submission of Regulatory /Internal daily and periodical analysis and Market risk submission to RMC and Board.
• Counterparty credit exposure under the RBI regime including bilateral netting and SA-CCR
• Should have exposure and understanding of LIBOR transition exposure assessment, its impact, and Valuation and Risk assessment post the demise of LIBOR.
• Setup of Valuation and Risk for new products across the Treasury and Risk management system
• Enhancing processes and policies in line with the Industry best practice and RBI/regulatory expectations.
• Hedge Effectiveness testing and review.
• Market Risk management committee support and related work including Agenda & Presentation, Action Points & Minutes
• Proactive Market Risk Management.

Educational / Professional Qualification"

• Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM. Risk Management qualifications like FRM / PRM /CFQ or CFA will have an added advantage.

Technical Knowledge:

• Familiarity with Murex / Calypso / 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 a specific orientation to stakeholder interests. 
• Well organized and able to perform under stringent timeline pressures without compromising on the end result quality
• Understanding of R Studio / Python would be an added advantage.