Senior Market Risk Analyst

Job Requirements

Job Title: Senior Market Risk Analyst

Function/Department: Risk

Job Purpose

The role holder has the responsibility to provide maintain and improve market risk reporting infrastructure and tools for the bank. The role holder is expected to develop and implement measures leading to the automation and streamlining of existing processes, collaborating with other departments to policies are accurately captured and processed through the risk systems.

Roles And Responsibilities

• Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Bank’s strategy, products and regulatory requirements
• Responsible for setting / review of market risk limits and put up proposal for Board / Management Committee’s for approval and monitor the Market Risk limits as per the approved policies.
• Responsible for setting and review of valuation methodologies for all Treasury Products (FX and derivatives as well as investment portfolio) of the Bank based on regulatory guidelines and market best practices
• Review the advanced Market & Counterparty Credit Risk models developed based on Quantitative / Statistical models.
• Monitor the changes in the regulatory space and share the impact assessment on Bank’ portfolio. The Team shall also be responsible to assess the system preparedness and work towards to implement same within Treasury / Risk System. The regulatory changes incl. but not limited to :
• Ensure that Bank is ready to measure capital charge basis revised guidelines i.e. Fundamental Review of Trading Book (Standardized & advanced models based approach), SA-CCR guidelines etc.
• Responsible for Bank’s preparedness and regulatory submission with respect to Market Risk for Ind-As. Set up / review methodology to reckon Expected Credit Loss for Investments portfolio, CVA/DVA under Ind-As.
• Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits. Review the Stressed Period and compute Expected Shortfall / Stressed VaR for the trading book on a periodic basis.
• Carry out Back-testing of VaR model considering the traditional & other advanced statistical approaches and put up results to Management Committee on periodic basis.
• Review and design Stress Test Scenarios for Market Risk and put up for the Committee for approval. Conduct Market Risk stress testing and monitor the stress test P&L on a periodic basis and put up the results to Management Committee.
• Compute & monitor the Market Risk Capital Charge as per methodology prescribed by RBI. Compute and monitor the Counterparty Credit Risk Exposure / Charge (CEM/CVA) as per the RBI guidelines.
  
  

• Exposure to Market Risk & Counterparty Credit Risk Models
• Exposure to regulatory guidelines / framework on Valuation , Capital Charge Computation, Risk estimation tools such VaR, ES etc.
• Good programing skills and using packages such as Python, R, SAS and SQL or other programing language (Must)