Market Risk Manager
2 weeks ago
Job Description
Job Role: Market Risk
Candidate should have minimum experience in this role should be 3-4 years with knowledge of Structured Products and Derivatives
Preferred qualifications - CA, MBA, CFA/FRM
Job Location- Mumbai
Job Responsibilities for this role are:
- Keeping track of PV01 and Notional positions (book size).
- Strong practical knowledge of Derivatives. Knowledge of Structured Products incl NCD.
- Impact of Option Greeks on liquidity.
- Convene ALCO and preparation of ALCO deliverables.
- Responsible for Preparing and analyzing Interest liquidity & gap statements liquidity ratio (LCR, NSFR).
- Conducing periodic Stress & Back testing, scenario analysis to stimulate the impact of extreme market events (equity and derivative markets) on the portfolio. Recommend the related risk mitigation strategy.
- Participating in designing topical scenarios to estimate capital efficiencies and make risk management process more robust.
- Prepare regular reports on market risk exposure, trends and potential areas of concern.
- Development & delivering of monthly risk-based MIS and publish the same.
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