Business Group: Market Risk Management Group (MRMG)

Background: MRMG is responsible for formulation of market and liquidity risk policies and limit structure and formulation of market risk measurement methodologies. It is also responsible for development/validation of valuation models and the monitoring and reporting of market risk positions. The group is also involved in the migration to internal models approach for market risk capital calculation under Basel Framework, the ICAAP process, credit exposure estimation and margining framework.

Purpose of the Job

• Formulation of policies pertaining to the trading book activities, liquidity and interest rate risk management in the banking book
  
• Valuation of fixed income and derivative products
  
• Formulation and carrying out market & liquidity risk stress testing
  
• Carrying out ALM analytics for compilation of ALM statements
  
• Engagement with external firm on independent model validations
  
• Reporting of ALM profile, risk positions, credit exposure of derivatives to Committees
  
• Implementation of new regulations on SACCR, FRTB, Ind-AS accounting standards
  

Key skills:

• In- depth knowledge of concepts in finance and market risk management
  
• Analytical skills and problem solving capabilities
  
• Process-oriented with good interpersonal skills
  
• Well versed with MS excel. Prior experience with treasury systems would be an added advantage
  

Educational qualification

Engineering / Post Graduation / Chartered Accountant

Mumbai

6.00

12.00