Job Description

:

Job Title - Market Risk Analyst

Place of work - Mumbai

Business Unit - Market Risk

Function - Trading 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 to assess the system preparedness and work towards to implement same within Treasury / Risk System. The regulatory changes incl. but not limited to :
o Formulating the methodology & ensure that valuation are inline with regulatory guidelines.
o 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.
o 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.

Educational Qualifications:

Graduate - Any

Post Graduate- Any

Experience:

0-3 years of experience