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Location : BKC, Mumbai Job Type : Full-Time Job Summary We are seeking a motivated and analytical individual to join our Market Risk Team for Derivatives Risk Management domain. The successful candidate will be responsible for monitoring, assessing, and managing risks associated with the company's derivatives portfolio. This role involves working closely with trading desks, risk managers, and senior leadership to ensure that all risks are identified, quantified, and properly managed in line with regulatory requirements and internal risk policies. Key Responsibilities Continuously monitor real-time risk exposures in the derivatives portfolios across asset classes, including equities, interest rates and currencies and track market conditions (local and global) affecting the valuation of derivatives, such as currency fluctuations, stock market volatility, and interest rate changes. Perform sensitivity analysis (e.g., Delta, Gamma, Vega, Rho) to assess the impact of underlying factor changes on derivatives portfolios. Conduct quantitative risk assessments such as Value at Risk (VaR), stress testing, scenario analysis, and backtesting to evaluate the market risk of derivatives. Prepare regular risk reports and communicate risk exposures, limits, and policy breaches to senior management. Ensure full compliance with Indian regulatory bodies like SEBI and RBI, following rules for derivatives trading and risk management. Prepare and submit daily/periodic reports to regulatory authorities on derivative positions, exposure limits, and margin requirements. Ensure adherence to firm-wide and regulatory risk limits, escalating breaches to senior management and regulators as necessary. Provide insights and presentations for the Risk Management Committee (RMC), focusing on derivatives risk strategy, key exposures, and risk mitigation efforts. Ensure adherence to all relevant regulatory frameworks, including Dodd-Frank, and Basel III, while managing derivatives exposures. Collaborate with the trading desk to design and implement hedging strategies for mitigating derivatives risk and regularly assess the effectiveness of existing hedging strategies to align with the firm's overall risk appetite. Develop and improve risk management processes and tools, including automation of risk measurement and reporting systems. Work closely with IT teams to enhance risk models, systems, and tools for improved derivatives risk management and UAT phase for implementation of derivatives in the Treasury system. Qualifications & Skills Required Education: A Master's degree in Finance or professional certifications like CA/FRM/CFA is highly desirable. Experience: 3-5 years of experience in a risk management role, preferably with a focus on derivatives in a financial institution. Strong understanding of derivative products (options, futures, swaps, etc.) and their risk characteristics. Proficiency in risk measurement methodologies such as VaR, stress testing, and scenario analysis. Experience with financial risk systems and platforms (e.g. Bloomberg, Cogencis, Reuters, Kondor or equivalent). Advanced proficiency in Excel and risk management tools Excellent communication skills with the ability to present complex risk issues clearly to both technical and non-technical audiences. Ability to work effectively in a collaborative environment and manage relationships with stakeholders. Familiarity with global regulatory frameworks related to derivatives risk and hands-on experience with building or validating risk models. (ref:iimjobs.com) Show more Show less
