Market Risk

The role holder is responsible to measure, monitor & analyze Market Risk for Trading Book of the bank and sensitize Financial

Market Team /ALCO/RMC on possible excesses of the limits through computation/analysis of various risk parameters e.g.

VaR, NOOP, AGL, Stress testing etc.

Core Responsibilities

• Good understanding of Financial market products and their valuation e.g. Derivatives, Bonds etc. Working knowledge of Valuation software like Murex
• Strengthen existing risk framework with guidance of ALCO or Top Management for continuous improvement.
• Proactive Risk Management and reporting of Trading Book Risk reports to RBI or Board/RMC/ALCO
• Improvement in MIS framework and Implementation of updated guidelines on timely basis
• Address the queries with satisfactory resolution of queries or comments from various Audits and RBI
• Understanding of Trading Book Risk Framework e.g. VaR, NOOP, AGL, Stress testing etc.
• Interaction and Query resolutions with multiple teams like Relationship managers, Financial Market, Middle Office, Back office etc.
• People Management or Self- Management

Responsibilities

• Optimization of available resources with aim to enhance productivity
• Planning with aim to build future team leaders with continuous knowledge development
• Back up availability for all activities covered under Trading Book Risk.
• Mentor team members on Trading Book Risk Management for active monitoring