Assistant Vice President/Deputy Vice President - Market Risk - Banking/Financial Services

Role Overview: We are looking for an experienced candidate with experience in Market Risk Management in Domestic Private Sector Banks, Indian Branches of Foreign Banks, Public Sector Banks, and Risk Consulting. Candidate shall possess comprehensive understanding of Market Risk management and Risk framework, Treasury products, Valuation methodologies, Sensitivities, VaR, Back Testing, Stress testing, Credit Exposure, etc. Candidate should also possess knowledge of Basel and IMA/SIMM/FRTB requirements. Responsible for Market Risk Management functions: Valuation and P&L attribution: - Responsible for valuation and review of Treasury portfolios - Forex, Fixed Income, Derivatives, Equity and structured products - 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, underlying market movements and accounting P&L - In depth understanding of advanced (Structured) products like, Barrier options, Digitals, Swaption, Caps and floors etc. including its valuation and risk profile. - Setup of Valuation and Risk for new products across Treasury and Risk management system Balance Sheet and Substantiation: - Perform monthly balance sheet substantiation and reconciliations (GL vs. treasury systems). - Investigate breaks and ensure timely resolution. - Support regulatory and audit queries - Strong understanding of AS-11 and Guidance note on derivative accounting - Perform hedge effectiveness testing and review Risk Monitoring and Submissions: - Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01, NOOP and other sensitivities like Greeks for Trading Portfolio - 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) - Responsible for RBS submission related to market risk data to RBI in line with RBI expectations Stakeholder management: - 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 - Market Risk management committee support and related work including Agenda and Presentation, Action Points and Minutes. Skill Set: Educational / Professional Qualification: - Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM. - Risk Management qualification 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 specific orientation to stakeholder interests. - Well organized and ability to perform under stringent time line pressures without compromising on the end result quality - Understanding of R Studio / Python would be an added advantage.