Job Description
Roles and Responsibilities
- Responsible for valuation of Treasury portfolios Forex, Fixed Income, Derivatives, Equity and structured products.
- Responsible for computation and monitoring of LCR, NSFR, Structural liquidity Statement (SLS), Asset Liability Return (ALR) etc.
- Responsible for liaising with other stakeholders for preparation and submission of various reports (ALR, ALO etc.).
- Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio.
- Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.
- Defining stress scenarios and stress testing methodologies.
- Conducting Back testing and Performing root cause analysis for Back testing exceptions
- Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes.
- Validation of market data / derived market data and positions for valuation and risk analysis
- P&L Attribution analysis based on first and second order sensitivities and underlying market movements
- Understating of latest regulatory developments in market risk domain.
- Responsible for submission of reports (LCR, NSFR, ALR, ALO etc.) to RBI/IFSCA.
- Responsible for RBS submission related to liquidity risk /market risk data to RBI/IFSCA
- Handling Audit queries and providing active assistance in audit
- Counterparty credit exposure under RBI regime including bilateral netting.
Desired Candidate Profile
Candidate shall have 2 - 5 years of experience in Market & Liquidity Risk Management in Domestic Banks (Private sector / Public Sector), Indian Branches of Foreign Banks, Risk Consulting. Candidate shall possess understanding of Market Risk & Liquidity Risk management and framework, Knowledge of LCR, NSFR, Structural Liquidity Statement, Treasury products, Valuation methodologies, Sensitivities, etc. Candidate should possess working knowledge of RBI /IFSCA requirements pertaining to Market & Liquidity Risk management
Technical Knowledge :
- Strong analytical and problem solving skills.
- Understanding of MS Excel and Excel Macro would be an added advantage.
- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.
- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality
Educational / Professional Qualification : Chartered Accountant, IIM/ IIT, MBA from tier 1/2 institute / NIBM. Risk Management qualification like FRM / PRM or CFA will have an added advantage.