Client is a well known Pvt sector Bank and is rated among its peers.
The role is across all levels; based on work exp
Role Specs :
– Monitoring and Reporting of several Risk Parameters (Limits) VaR, PV01, Stop-Loss, AGL, NOOP etc, on real time/daily basis.
– Market risk capital charge calculation as per Basel II and Basel III.
– Developing relevant Stress scenarios and testing the trading and banking books under these scenarios at fortnightly intervals.
– Review and amendments to the Market Risk Management Policy & Counterparty Exposure policy (Counterparty Exposure limits fixing and monitoring).
– Handling Statutory, Concurrent and RBI audits. Responsible for Market Risk Management functions.
– Responsible for monitoring and analyzing sensitivities
– Responsible for keeping close watch on financial markets and carrying out impact analysis on Bank portfolios
– Review and enhancement of VaR (Historical simulation & MC VaR), Stress VaR, 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
– Conducting Backtesting and Performing root cause analysis for Backtesting exceptions domain including FRTB and IND-AS and shall lead system implementation for the same
– Timely submission Regulatory and internal daily and periodical analysis and Board memorandums
Candidate Specs:
– Strong experience in Market Risk Management role in Banks.
– Must possess a comprehensive understanding of Market Risk Management, Treasury products, valuation methodology, Sensitivities, VaR, CVA/DVA etc.
– Well versed with working knowledge of Basel and IMA /FRTB requirements.
– Familiarity with Calypso and SAS will have additional advantage
NO Offshore Bank KPO experience.
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