Market Risk/Derivatives Risk Manager

Job Description

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 apoorwa.jain@aubank.in . Show more Show less