AVP (Market Risk Valuations)

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Key Responsibilities:

Understand the valuation methodologies and policies for various financial products (esp derivatives), including regulatory guidelines
Understand the implementation of above in the Treaury system (Murex)
Formulate valuation methodology and policy for various investment & derivative products dealt by the Bank's treasury, including validation of the same in Bank's treasury system
Building & validation of models used for risk metrics computation (PV01, greeks, VaR), Initial margin calculation
Build & implement preventive / detective checks wrt Bank's process of valuing financial products
Identify on an ongoing basis model / system issues e.g. curves, generators, market data etc. that cause discrepancies or swings in P&L
Drive regulatory projects related to implementation of new RBI guidelines related to Treasury products
Understanding of valuation of financial products (bonds, swaps, options etc.)
Comfort with Treasury systems & workflow
Knowledge of regulatory guidelines (RBI, FIMMDA, FEDAI) wrt treasury products
Strong analytical and presentation skills

Experience:
5 - 8 Years
Salary:
26 LPA - 28 LPA
Diversity Candidate:
No
Location:
Mumbai
Address:
Mumbai
Primary Skills:
Treasury, Derivatives, Valuation, Murex, Model Validation, Risk Analytics (PV01/Greeks/VaR), Market Risk, P&L, RBI Compliance.
Industry:
BFSI Fintech & Financial Services
Job Type:
Full time
Degree:
CA or MBA