Job Description :
Overview of Functions:
Key resource for the management of Market Risk in the Bank & OBUs
1. Ensuring in-depth understanding of the Bank’s portfolio and inherent risks. Monitoring market environment & portfolio for emerging market risks. Escalation of risks and recommending risk mitigation.
2. Recommending Risk-Limit & Risk-Appetite framework for Market Risk & calibrating limits in accordance with changing risk/market environment
3. Ensuring readiness of the Bank for changes in Regulatory regime – FRTB, LIBOR transition etc.
4. Defining Policies for Market Risk Measurement, Rate Scan, Stress Testing etc.
5. Validation of Risk & Valuation Models. Troubleshooting issues/queries in the risk & valuation models.
6. Liaison with Regulators & Auditors for Market Risk
7. Risk reporting to Senior Management, Risk Committees & Board
8. Participation in the implementation of Treasury & Market Risk systems
9. Participation in Operational Risk Management for the Treasury division
10. Working in close coordination with Middle Office Team for the resolution of valuation and risk issues
Requirements:
The candidate must have at least 8 years’ experience in Treasury Middle Office/Market Risk function
CA or MBA from a reputed institute (preferably a CFA Charter-holder or FRM)
Strong technical skills (particularly in Ms Excel). Knowledge of VBA, Python, SQL is a plus
Must be able to maintain good professional working relationships with all other departments including Treasury Front & Back office, Compliance, Internal Audit, other Risk Management functions.


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