Job Description
Role/Job Title: Market Risk Specialist
Business: Risk
Function/ Department: Market Risk / Trading Risk
Place of work: Mumbai
Roles & Responsibilities:
• Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Bank’s strategy, products and regulatory requirements
• Responsible for setting / review of market risk limits and help to put up for MRC/RMCB/BoD for approval and monitor the Market Risk limits as per the approved policies. Review of pre-approved list of investments.
• Responsible for setting up / configuration of new product / risk factor / instrument etc. in the treasury / risk system.
• Responsible for setting and review of valuation methodologies for the FX and derivatives as well as investment portfolio of the Bank based on regulatory guidelines and market best practices
• Conduct Market Risk stress testing and monitor the stress test P&L on a quarterly basis.
• 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.
• Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits. Compute Stressed VaR for the trading book on a periodic basis.
• Conduct Back testing of VaR and put up the results to MRC on periodic basis.
• Review of PFE calibration parameters on a periodic basis and monitoring the counterparty exposure as per the approved policy.
• Monitor illiquidity charge for the investment portfolio under normal and stressed scenarios as per the approved methodology
• Conduct hedge effectiveness testing as per the frequency detailed in the hedge strategy documents
• Be responsible for Periodic review of market data configured in the system used for valuation and risk estimation.
• Ensure the correctness of pricing models in Treasury systems periodically
• Be responsible for RBS data submission related to Trading risk
• Responsible for Bank’s preparedness and regulatory submission with respect to Market Risk for Ind-As.
Set up and review of policies for Ind-As.
Responsible for computation and monitoring the Fair value of Investments / Fx & derivatives,
Market Risk Capital Charge, Expected Credit Loss (ECL) for the investment portfolio and CVA/DVA charge for Fx & derivative’s.
• Facilitate business to exchange the VM, by validating the Bank’s / Counterparty’s MTM under CSA
• Liaise with internal departments on Market risk related issues.
Secondary Responsibilities:
• Responsible to track regulatory developments and share impact assessment as and when required.
• Responsible to interact with audit teams (internal / Stat ) and provide required clarifications for all the queries raised by them. Additionally, responsible to submit data required by RBI / Stat / Internal Audit teams.
Key Success Metrics:
Ensure compliance with regulatory/Internal guidelines with no audit observations.
Ensure measurement & monitoring of risk positions within internal policies & regulatory guidelines.
Desired Profile:
• B.Tech + MBA in Finance
• 6-10 year of exp in Market Risk methodology role
• CFA / FRM certification mandatory
• Preference – Indian Banks, Big 4
Business: Risk
Function/ Department: Market Risk / Trading Risk
Place of work: Mumbai
Roles & Responsibilities:
• Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Bank’s strategy, products and regulatory requirements
• Responsible for setting / review of market risk limits and help to put up for MRC/RMCB/BoD for approval and monitor the Market Risk limits as per the approved policies. Review of pre-approved list of investments.
• Responsible for setting up / configuration of new product / risk factor / instrument etc. in the treasury / risk system.
• Responsible for setting and review of valuation methodologies for the FX and derivatives as well as investment portfolio of the Bank based on regulatory guidelines and market best practices
• Conduct Market Risk stress testing and monitor the stress test P&L on a quarterly basis.
• 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.
• Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits. Compute Stressed VaR for the trading book on a periodic basis.
• Conduct Back testing of VaR and put up the results to MRC on periodic basis.
• Review of PFE calibration parameters on a periodic basis and monitoring the counterparty exposure as per the approved policy.
• Monitor illiquidity charge for the investment portfolio under normal and stressed scenarios as per the approved methodology
• Conduct hedge effectiveness testing as per the frequency detailed in the hedge strategy documents
• Be responsible for Periodic review of market data configured in the system used for valuation and risk estimation.
• Ensure the correctness of pricing models in Treasury systems periodically
• Be responsible for RBS data submission related to Trading risk
• Responsible for Bank’s preparedness and regulatory submission with respect to Market Risk for Ind-As.
Set up and review of policies for Ind-As.
Responsible for computation and monitoring the Fair value of Investments / Fx & derivatives,
Market Risk Capital Charge, Expected Credit Loss (ECL) for the investment portfolio and CVA/DVA charge for Fx & derivative’s.
• Facilitate business to exchange the VM, by validating the Bank’s / Counterparty’s MTM under CSA
• Liaise with internal departments on Market risk related issues.
Secondary Responsibilities:
• Responsible to track regulatory developments and share impact assessment as and when required.
• Responsible to interact with audit teams (internal / Stat ) and provide required clarifications for all the queries raised by them. Additionally, responsible to submit data required by RBI / Stat / Internal Audit teams.
Key Success Metrics:
Ensure compliance with regulatory/Internal guidelines with no audit observations.
Ensure measurement & monitoring of risk positions within internal policies & regulatory guidelines.
Desired Profile:
• B.Tech + MBA in Finance
• 6-10 year of exp in Market Risk methodology role
• CFA / FRM certification mandatory
• Preference – Indian Banks, Big 4
💡 Quick Summary
Seeking a career-building opportunity? The Market Risk Specialist position is now open for candidates interested in the Bank Jobs sector. This role in Mumbai offers a professional environment and growth potential.
Requirement Snapshot: Candidates should possess basic communication skills, a proactive attitude, and the ability to work in a team. Experience in Bank Jobs is a plus.