Senior Market Risk Specialist

2 days ago

Jaipur, Rajasthan, India beBeeMarketRisk Full time ₹ 27,00,000 - ₹ 42,00,000
Market Risk Manager Job Description

This is an onsite opportunity for a qualified candidate to manage specialized risk management functions within the Enterprise Risk Management practice of a bank.

Job Summary:

As a seasoned Market Risk Manager, you will be responsible for establishing policies/guidelines on enhanced monitoring of Treasury/Investment/ALM/Liquidity risk, valuing Treasury portfolios, and providing independent mid-office monitoring support on NOP, Fixed income, FIG, Derivatives, limit monitoring etc.

Key Responsibilities:

  • Policy Development: Establish policies/guidelines on enhanced monitoring of Treasury/Investment/ALM/Liquidity risk.
  • Treasury Valuations: Value Treasury portfolios – Forex, Fixed Income, Derivatives, Equity and others.
  • Mid-Office Monitoring: Provide independent mid-office monitoring support on NOP, Fixed income, FIG, Derivatives, limit monitoring etc.
  • Hedge Effectiveness: Monitor hedge effectiveness on a periodic basis.
  • Capital Charge: Implement and calculate Capital charge and Counterparty Risk Charge.
  • Equity Analysis: Analyze Equities, Bonds and Money market funds.
  • Limit Monitoring: Perform all types of limit monitoring with respect to treasury activities as prescribed in Internal and regulatory policies.
  • Margin Calls: Reconcile MTM with counterparty banks for derivatives deals undertaken and make/respond margin calls in term of CSA arrangement with them.
  • Reporting: Prepare Regulatory and internal daily and periodical reports and Board notes on accurate and timely submission.
  • Metric Enhancement: Enhance methodologies for counterpart credit risk measures like PFE, CVA etc.
  • Risk Mitigation: Review banks' new products related to Market risk and provide risk mitigation controls.
  • LCR/NSFR Simulation: Monitor and simulate LCR/NSFR.
  • Product Maturity: Robustly monitor and report on Maturity of ALM products.
  • Limit Setting: Set limits for MAL/SAL using statistical modelling techniques.
  • IRRBB Generation: Generate Interest rate risk on bank's book basis IRRBB or via Sensitivity Report analysis like NII and EVE.
  • Behavioral Studies: Understand Behavioral studies of ALM products.
  • System Implementation: Experience implementation of ALM/Market Risk system from end to end.
  • Pricing/Hedging: Pricing/Hedging of banking products across asset classes (Rates, FX, Bonds).
  • Stress Testing: Well-versed with Stress testing of Liquidity and Interest rate risk.
  • Methodologies Familiarity: Familiarity with ICAAP, RAROC, FTP methodologies, RAS will be preferable.
  • Audit Support: Handle Audit queries and provide active assistance in audit.

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