Team Member - Market Risk-SUPPORT SERVICES-Risk

JOB DESCRIPTION: 

ROLE: Market Risk Manager 

Roles and Responsibility: 

 Work as a key resource for the management of Market Risk of the Bank (portfolios include Fixed Income, Foreign Exchange, Derivatives, Commodities etc.) and Operational Risk (for Treasury Department) 

 Perform continuous identification, assessment, monitoring and mitigation of the Market Risk in the Bank’s Treasury portfolio and monitor the market environment. Provide periodic and timely analysis of risk, highlight emerging risks and recommend risk mitigation steps. Periodic risk updates to ALCO, Risk Management Committee etc. in the form of presentations, Notes etc. 

 Analyze and explain the daily changes in trading results (P&L), risk sensitivities and Value-at Risk of all portfolios. Make necessary modifications in calculations/methodologies. Ensure correctness of valuation and risk models. 

 Supervise the Rate Scan & Market Surveillance functions performed by Treasury Middle Office. 

 Stress testing & Scenario Analysis of the Bank’s Treasury portfolios. 

 Evaluate new treasury products and processes, identify risks, recommend valuation methodologies, and risk mitigation steps. 

 Drive automation and process improvement in risk monitoring tools. 

 Ensure compliance with market risk regulations. 

 Participate in IT project implementations from the Market Risk side. Prescribe all requirements from Market Risk side and ensure correct implementation. 

 Participate in Operational Risk Management functions for Treasury 

 Liaison with Audit and Regulators for Market Risk 

Qualifications & Skills: 

 CA or MBA (Finance) or Masters in Markets/Finance or CFA/FRM/CQF or Bachelors in Engineering, Mathematics, Statistics or related field o Progress in FRM/PRM/CFA/CQF etc. would be viewed favorably 

 Good understanding of financial markets 

 Strong analytical and problem-solving skills 

 Ability to analyze, summarize and present analysis 

 Proficiency in Excel, VBA and at least one programming language such as Python will be preferable.