Vacant Position: Senior Associate/ Manager-Market Risk

Manage market risk desk at APICORP by identifying, analyzing, measuring & reporting based on approved policy & procedures. Track market risk limits and Key Risk Indicators and manage analytical models & tools associated with market risk. Perform middle office controls for the Treasury business portfolio.

DUTIES & RESPONSIBILITIES

• Review and update the market risk policies, procedures, limits as per industry benchmarks, and APICORP’s risk appetite.
• Develop and enhance market risk tools/systems and provide analytical support to monitor market risk.
• First-line oversight for operational risk within Treasury as well as for dealing activities executed by the Treasury function, including assurance that deals are executed in line with Dealing Mandates, within limits and Policy. Escalation of breaches as appropriate.
• Monitor market indicators to ensure full awareness of market conditions and trends and identify any alert/caution areas in APICORP’s market-linked investment portfolio.
• Maintain the soundness of market risk management systems, tools, and applications, update methodologies to ensure these effectively assist in the early assessment of risk.
• Provide independent oversight of the APICORP’s investment and hedging activities.
• Analyze the balance sheet to ensure all market risks are identified and understood
• Monitor daily treasury group activity and value-at-risk (IR, FX, Credit spread, Equity) movement at the portfolio level.
• Generate market risk position reports (e.g. Exceptions, FX-Net Open positions, PV01, DV01, Earnings impact VaR, etc.) to maintain effective oversight on market risk exposure.
• Keep oversight on traders dealing limits and reviewing their end of day activity report/deal summary report.
• Educate traders and various departments on their risk exposure
• Keep oversight on hedging strategy, its cost-benefit analysis Vis-à-vis risk appetite.
• Coordinate with the IT Dept., Finance department, and other Treasury to ensure automation and enhancement on market risk reporting, their accuracy, and timeliness, and ensure these systems remain up-to-date.
• Evaluate external market risk systems and risk/trading models when required to evaluate its suitability.
• Develop Market risk MIS reports for Risk Committee/ALCO.

QUALIFICATIONS & SKILLS

1. Bachelor’s /Master’s degree in a quantitative or analytical field such as Economics, Engineering, Mathematics, Business Management or Finance preferred
2. CFA/FRM would be highly desirable
3. 8+ years of market risk in the banking industry
4. Knowledge of market risk management tools, Excel-based data modeling, Data extraction, and modeling through Bloomberg and other information channels
   

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