Market Risk Specialist

1 day ago

Pune, Maharashtra, India beBeeRiskManagement Full time ₹ 1,80,00,000 - ₹ 2,50,00,000
Market Risk Specialist

This is a key role within our Enterprise Risk Management practice, focused on managing specialized risk management functions for a bank.

Key Responsibilities:
  • Policy Development and Monitoring: Develop policies to effectively monitor Treasury/Investment/ALM/Liquidity risk.
  • Asset Valuation: Value Forex, Fixed Income, Derivatives, Equity, and other assets with precision.
  • Monitoring Support: Provide independent monitoring support on Non-Performing Loans, Fixed Income, FIG, Derivatives, limit monitoring, etc.
  • Hedge Effectiveness Analysis: Regularly analyze hedge effectiveness to ensure optimal outcomes.
  • Capital Charge and Counterparty Risk Calculation: Calculate capital charges and counterparty risk charges accurately.
  • Technical Analysis: Conduct in-depth analysis of Equities, Bonds, and Money Market funds to inform business decisions.
  • Limit Monitoring: Monitor limits related to Treasury activities as per internal and regulatory policies.
  • MTM Reconciliation: Reconcile MTM with counterparty banks for derivatives deals and respond to margin calls promptly.
  • Reporting and Board Notes: Prepare daily and periodical reports and Board notes for timely submission.
  • Methodology Enhancement: Enhance methodologies for counterparty credit risk measures like PFE, CVA, etc.
Liquidity Risk and ALM:
  • LCR/NSFR Monitoring and Simulation: Monitor and simulate Liquidity Coverage Ratio and Net Stable Funding Ratio for informed decision-making.
  • ALM Product Maturity Monitoring: Robustly monitor and report on the maturity of ALM products to mitigate risks.
  • Limit Setting for MAL/SAL: Set limits using statistical modeling techniques to optimize business outcomes.
  • Interest Rate Risk Analysis: Generate interest rate risk reports on the bank's book basis or via sensitivity analysis.
  • Behavioral Studies of ALM Products: Demonstrate a deep understanding of Behavioral studies of ALM products.
  • ALM/Market Risk System Implementation: Implement end-to-end experience of ALM/Market Risk system.
  • Pricing/Hedging Banking Products: Price/hedge banking products across asset classes (Rates, FX, Bonds).
  • Liquidity and Interest Rate Stress Testing: Showcase expertise in stress testing of Liquidity and Interest Rate risk.
  • ICAAP/RAROC/FTP Methodologies: Familiarity with ICAAP, RAROC, FTP methodologies, RAS preferred.
  • Audit Assistance: Handle audit queries and provide active assistance in audit processes.
Required Skills and Qualifications:
  • Deep Understanding of Risk Management Principles
  • Expertise in Financial Modeling and Analysis
  • Strong Communication and Interpersonal Skills
  • Ability to Work Independently and Collaborate with Teams
  • Proficiency in MS Office and Statistical Software
Benefits:

As a Market Risk Specialist, you will have access to ongoing training and development opportunities, flexible working arrangements, and a comprehensive compensation package.

Why Join Our Team?

Our team is passionate about delivering exceptional results and making a meaningful impact in the financial industry. We value diversity, equity, and inclusion, and are committed to creating a workplace culture that is respectful, supportive, and inclusive.

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