Senior Market Risk Consultant

5 days ago

Ghaziabad, Uttar Pradesh, India beBeeRisk Full time ₹ 90,00,000 - ₹ 1,20,00,000

Market Risk Specialist

This is an onsite opportunity for the qualified candidate to be deputed at a bank in the GCC region. The key functional expectations from the candidate will be:

  • Establish policies and guidelines on enhanced monitoring of treasury/investment/ALM/liquidity risk.
  • Conduct valuation of treasury portfolios – forex, fixed income, derivatives, equity, and others.
  • Provide independent mid-office monitoring support on NOP, fixed income, FIG, derivatives, limit monitoring etc.
  • Monitor hedge effectiveness on a periodic basis.
  • Implement and calculate capital charge and counterparty risk charge.
  • Perform technical analysis of equities, bonds, and money market funds.
  • Monitor all types of limits with respect to treasury activities as prescribed in internal and regulatory policies.
  • Reconcile MTM with counterparty banks for derivatives deals undertaken and make/respond margin calls in terms of CSA arrangement with them.
  • Prepare regulatory and internal daily and periodical reports and board notes on accurate and timely submission.
  • Enhance methodologies for counterparty credit risk measures like PFE, CVA, etc.
  • Periodically review banks' new products related to market risk and provide risk mitigation controls.

Key Responsibilities - Liquidity Risk and ALM

  • Monitor and simulate LCR/NSFR.
  • Robustly monitor and report on maturity of ALM products.
  • Set limits for MAL/SAL using statistical modeling techniques.
  • Generate interest rate risk on bank's book basis IRRBB or via sensitivity report analysis like NII and EVE.
  • Have a good understanding of behavioral studies of ALM products.
  • Have experience with implementation of ALM/market risk system from end to end.
  • Pricing/hedging of banking products across asset classes (rates, FX, bonds).
  • Be well-versed with stress testing of liquidity and interest rate risk.
  • ICAAP, RAROC, FTP methodologies, RAS will be preferable.
  • Handle audit queries and provide active assistance in audit.

Requirements

The ideal candidate should have 6-8 years of relevant work experience in Middle East banks.

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