Market Risk

4 weeks ago

Mumbai, India Yes Bank Full time

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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