Analyst - Market Risk
2 weeks ago
Responsible for Market Risk Management functions
Responsible for monitoring and analyzing various limits like NOOP, AGL, Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio,
Responsible for valuation & review of Treasury portfolios – Forex, Fixed Income, Derivatives, Equity and others products
Review and enhancement of VaR, Stress VaR, Stress testing frameworks.
Performing scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.
Defining stress scenarios and stress testing methodologies
Validation of market data / derived market data and positions for valuation and risk analysis
P&L contribution analysis based on first and second order sensitivities and underlying market movements
Understanding of the Balance sheet, Treasury Products like, options, swaps etc including its valuation.
Shall be exposed to Market Risk System implementation/enhancement.
Skill Set
Educational / Professional Qualification
MBA (Fin.)/CA /Graduate/Post Graduate with Mathematics or Statistics as one of the major subject;
Risk Management qualification like FRM / PRM or CFA will have an added advantage
Technical Knowledge
Familiarity with Calypso and SAS will have additional advantage
Strong analytical and problem solving skills.
Proficient with MS Excel and Excel Macro
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