Market Risk- Senior Manager/ Associate Director

1 week ago

Bengaluru Delhi Mumbai NCR, India Pylon Management Consulting Full time ₹ 12,00,000 - ₹ 36,00,000 per year

Required Skill set

  • Understanding and experience in the area of ALM Risk, including Liquidity Risk and Interest Rate Risk, specifically LCR, NSFR, IRRBB, Liquidity, and Repricing Gap, Duration & Yield Analysis, Valuation, Balance Sheet Modeling, behavioral prepayment models.
  • Experience in VaR (Historical, parametric, Monte Carlo), RNiV, IRC, Expected Shortfall, Stressed VaR, Backtesting, etc.
  • Understanding of Trading Risk sensitivities like PV01, PVBP, Duration, Option Greeks such as Delta, Gamma, Vega. Counterparty Credit Risk measures including, PFE, SCVA, BCVA, etc.
  • Understanding of various derivatives and exotic, and Pricing theories
  • Understanding of interest rate curve construction/IR calibration, volatility models.
  • Understanding of the ALM modelling and historical analysis, develop supporting assumptions and run the ALM modelling per Policy, backtesting, and validation of ALM indicators, assumptions.

Relevant experience

  • Experience in developing and maintaining policies and frameworks including ALM, Investment policies, FX policies, Fund Transfer Pricing policy, Counterparty Credit Risk (CCR), and other Market Risk.
  • Monthly monitoring of ALCO limits of Market risk limits, market rate scan, and trend analysis.
  • Assistance in ALCO & RMC pack
  • Contingency funding plan and testing
  • Market Risk Capital Charge, IRRBB Capital Charge, Net Interest Income at Risk, Economic Value of Equity
  • Develop and set operating limits, measure, and monitor the risk level /limits per the policies and reporting.
  • Support in RBI, Statutory and Internal audit
  • Stress Testing, Scenario & Sensitivity Analysis of Market Risk, Liquidity Risk, and IRRBB parameters
  • Preparation and submission of Regulatory returns, covering liquidity and Interest rate risk e.g. Structural Liquidity statement (LR returns), Interest rate sensitivity statement, BLR returns (Basel Liquidity Returns)
  • Experience in developing/validating methodology for the quantitative analysis required on various workstream for FRTB
  • Prepare reports and analysis specified by ALM (funding concentration, NII simulation, Liability profile analysis, EVE and EaR simulations, basis risk, and optionality).
  • Net Interest Income at Risk, Economic Value of Equity
  • ICAAP (specific sections related to market risk, IRRBB, Liquidity)

Educational qualification and language skills

  • Should be proficient in MS Excel and PowerPoint
  • Should have excellent communication skills (oral, written, and email drafting skills)
  • Postgraduate with minimum 3 years of experience in the Banks, NBFCs
  • Knowledge of local markets and regulatory landscape
  • Certificates like CFA, FRM, CQF is added advantage

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