Market Risk

4 weeks ago


India Advanced Financial Solutions Full time

This is an onsite opportunity for the qualified candidate to be deputed at Banks in the GCC to manage specialized risk management functions within the Enterprise Risk Management practice of the bank. More specifically, the key functional expectations from the candidate will be :

I) Market Risk

- Responsible for establishing policies/guidelines on the enhanced monitoring of the Treasury/ Investment/ ALM/ Liquidity risk.
- Responsible for Valuation of Treasury portfolios – Forex, Fixed Income, Derivatives, Equity and others.
- Shall provide independent mid-office monitoring support on NOP, Fixed income, FIG, Derivatives, limit monitoring etc.
- Shall be responsible for monitoring hedge effectiveness on a periodic basis.
- Implementation and calculation of Capital charge and Counterparty Risk Charge.
- Technical analysis of Equities, Bonds and Money market funds.
- All types of limit monitoring with respect to treasury activities as prescribed in Internal and regulatory policies.
- MTM reconciliation with counterparty banks for derivatives deals undertaken and making /responding margin calls in term of CSA arrangement with them.
- Responsible for preparation of Regulatory and internal daily and periodical reports and Board notes on accurate and timely submission.
- Enhancing methodologies for counterpart credit risk measures like PFE, CVA etc.
- Periodic review of banks’ new products related to Market risk and provide risk mitigation controls.

II) Liquidity Risk and ALM

- Shall be responsible for monitoring and simulating LCR/ NSFR
- Robust monitoring and risk reporting on Maturity of ALM products
- Limit setting for MAL/SAL using statistical modelling techniques
- Generate Interest rate risk on bank’s book basis IRRBB or via Sensitivity Report analysis like NII and EVE
- Good understanding of Behavioral studies of ALM products
- Implementation experience of ALM / Market Risk system from end to end
- Pricing / Hedging of banking products across asset classes (Rates, FX, Bonds)
- Well versed with Stress testing of Liquidity and Interest rate risk
- ICAAP, RAROC, FTP methodologies, RAS will be preferable
- Handling Audit queries and providing active assistance in audit

Experience: 6 -8 years of relevant work experience for Middle East banks.


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