Market Risk - Mumbai, India - Skillventory

Skillventory

Verified Company

Mumbai, India

2 weeks ago

Posted by:

Deepika Kaur

beBee Recuiter

Description

Market Risk - Counterparty Risk For a leading Bank:

From 2 to 7 year(s) of experience

- ₹ Not Disclosed by Recruiter

Mumbaior

Roles and Responsibilities

Preparation and submission of accurate and on timely TMO reporting, for internal purpose e.g., Stop loss limit, PV01, M Duration, Holding period, Size Limit,counterpartybank exposure limit monitoring.

Daily computation of MTM/Valuation for SLR and NSLR investment products, limit set up and update in Treasury system, maintain archive of regular MIS.
Timely submission of related regulatory reports/MIS to stake holders.
Assist inMarketRiskStress Testing, capital charge computation as per BASEL-II NCAF guidelines.
Assist in drafting Investment Committee (IC) / ALCO meeting notes, RBS data submission,MarketRisk/TMO policy review, documentation etc.
Exposure to Forex & Derivative products including valuation.
Excel and VBA skills are a prerequisite.
An understanding ofmarketriskmeasures such as present value of a basis point (PVBP), M Duration and VAR is desirable.
Should be exposed toMarketRisk/ Treasury implementation related activities
Role:_Other
Salary:_ Not Disclosed by Recruiter
Industry:_Banking
Department:_Other
Role Category:_Other
Employment Type:_Full Time, Permanent