Market Risk / Derivatives Risk Manager

We are hiring for Market risk professional with relevant experience of forex & derivatives based out at Mumbai.

Work Experience - 3+ Years of banking experience with forex & derivatives expertise.

Job Responsibilit y : -

• Assess risk management systems problems and comply with market risk policies
• Comply with SLA for delivery of risk reports
• Ensure strict compliance of RBI and other regulatory guidelines
• Responsible for computation of Forex Gaps (AGL & IGL) and Positions reports, NOOPL, Country risk and reporting to RBI and Senior Management
• Responsible for Daily and monthly valuation of different Treasury Products (Bonds, FX, derivatives (Interest Swap, Currency Swap option etc.) in line with regulatory guidelines.
• Computation and monitoring of various Positions / risk utilizations and strictly adhering to risk management framework of the Bank
• Monitoring Country risk limits and counter party risk limits
• Validation and reporting of Treasury P&L of the Bank
• Responsible for carry out of currencies rate-scan and other control checks set up by the middle office team
• Active coordination with Treasury Front office, Back-office operations, Audit and IT for the above responsibilities
• Aptitude for picking up additional responsibilities within the department
• Gather Latest Market intelligence and track and benchmark against best practices in competitor banks
• Audit : - Ensuring compliance with regulatory requirements pertaining to Market Risk including forex risk (RBI Audit, Concurrent Audit, HO Audit and Statutory Audit).
• Policies : - Review and maintenance of Market Risk management Policy and Stress Testing Policy.
• Computing and Monitoring VAR limits for all investment products including FX exposure.
• Capture and share best- practice knowledge amongst the team
• Should understand Treasury products, Debt and Forex markets, risk sensitivities and factors
• Should be proficient in Excel
• Knowledge and implementation of Treasury / Risk systems would be an advantage
• Certification in Forex domain will be preferred.

Please share your updated CV at [email protected] .