
Market Risk
4 days ago
ROLE SUMMARY
The role holder is responsible to measure, monitor & analyze Market Risk for Trading Book of the bank and sensitize Financial Market Team /ALCO/RMC on possible excesses of the limits through computation/analysis of various risk parameters e.g. VaR, NOOP, AGL, Stress testing etc.
SECTION III: KEY RESPONSIBILITIES/ ACCOUNTABILITIES
Strategic/ Managerial Responsibilities
Core Responsibilities
- Good understanding of Financial market products and their valuation e.g. Derivatives, Bonds etc. Working knowledge of Valuation software like Murex
- Strengthen existing risk framework with guidance of ALCO or Top Management for continuous improvement.
- Proactive Risk Management and reporting of Trading Book Risk reports to RBI or Board/RMC/ALCO
- Improvement in MIS framework and Implementation of updated guidelines on timely basis
- Address the queries with satisfactory resolution of queries or comments from various Audits and RBI
- Understanding of Trading Book Risk Framework e.g. VaR, NOOP, AGL, Stress testing etc.
- Interaction and Query resolutions with multiple teams like Relationship managers, Financial Market, Middle Office, Back office etc.
People Management or Self-Management Responsibilities
- Optimization of available resources with aim to enhance productivity
- Planning with aim to build future team leaders with continuous knowledge development
- Back up availability for all activities covered under Trading Book Risk.
- Mentor team members on Trading Book Risk Management for active monitoring
Risk and Internal Control Responsibilities
- Same as Core responsibility
KEY INTERACTIONS
Key Internal Interactions
Purpose of Interaction
ALCO, RMC and Top Management
- Submission of ALCO MIS and Coordination for ALCO/RMC meetings
Financial Market Dealers
- For active management of Trading Book Risk and Compliance
FMMO / FMO
- For computation of various risk / exposure Reports
Compliance
- RBS Submissions
- Clarifications for guidelines
- RBS Audit
IAD
- Internal audit of Market Risk
Key External Interactions
Purpose of Interaction
RBI
- Clarifications for guidelines
- Submission of feedback to draft guidelines
- RBS Audit query resolutions
KNOWLEDGE & EXPERIENCE
KNOWLEDGE
Minimum Qualifications
- CA / MBA
Professional Certifications
- FRM
Language Skills
- English
EXPERIENCE
Years of Experience
- 4-8
Nature of
Experience
- Trading Book Market Risk
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