Role: Manager – Market risk
Location: Mumbai
Experience Required: 2-10 years from banking industry only
Qualification– CA, CS, CMA, MBA.
Job Description:
Market risk and Credit risk assessment and Reporting.
Preparation of monthly analysis of investment and power point presentation for IC meeting.
Calculation of VaR, PV01, M duration sensitivities and monitoring against allocated limits.
Back testing and stress testing of fixed income transactions.
Calculation of Capital charge for investment products.
UAT, System implementation, utility testing and automation of process involved.
Conducting stress tests for market risk, liquidity and interest rate risk in banking book and reviewing stress testing framework periodically to incorporate changes in underlying risks, market dynamics among others.