Head of Market Risk

3 weeks ago


Delhi, India Unity Small Finance Bank Full time
1.Portfolio Risk Management- A cross asset top-down view for senior management to understand the various market risks across the trading and banking landscape that Unity Bank is exposed to; including highlighting material risks whether they are driven by individual trades or caused by concentrations or market liquidity concerns.2.Responsible for the oversight of daily market risk activities including but not limited to trade booking, trade valuation, market price gathering, P&L, and VaR reporting3.Maintain and review MTM, exposure, and P&L by the deal, portfolio, region, and strategy.4.Asset Class based assessment– MRM analyses the various asset class/es and provides a commentary across all relevant risk metrics and market data optimization.5.Oversee calculations for P&L and VaR attribution, understand the drivers and provide an explanation to the movements as well as perform back testing.6.Analyse market data, positions, Value-at-Risk (VaR), Profit and Loss (P&L), Independent Price Verification (IPV) process of flat price and non-linear positions7.Policy Framework: In collaboration with the Markets Team, MRM designs the risk appetite and risk identification frameworks ensuring a consistent adoption of industry leading standards8.MRM MIS Production – Oversee risk position data validation, calculation and reporting of all official market risk exposures, this includes identification of the top and emerging risks, summarizing the key changes in all portfolio metrics in a manner suitable for senior management consumption.

Years of Exp: 8 to 10 Years


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