Market Risk Analyst

Job description

Requirements : - 2–8years of experience in Market & Liquidity Risk in banks or risk consulting. - Good understanding of risk frameworks, treasury products, valuation, and sensitivities. - Knowledge of LCR, NSFR, Structural Liquidity Statement, and related concepts. - Familiar with RBI / IFSCA regulations for risk management. - Responsible for handling Market Risk & Liquidity Risk management functions. Roles and Responsibilities : - Valuation of treasury portfolios including Forex, Fixed Income, Derivatives, Equity, and structured products. - Monitor and calculate liquidity ratios like LCR, NSFR, SLS, and ALR. - Prepare and submit key reports (ALR, ALO, etc.) in coordination with stakeholders. - Track risk metrics such as VaR, Modified Duration, PV01, and Greeks. - Perform scenario analysis and stress testing for trading portfolios. - Conduct back testing and analyze exceptions. - Calculate market risk capital and Risk Weighted Assets (RWA). - Validate market data and portfolio positions. - Perform P&L attribution analysis based on market movements. - Stay updated on regulatory changes in market risk. - Submit regulatory reports to RBI/IFSCA, including RBS data. - Support audits and handle audit queries. - Manage counterparty credit exposure under RBI guidelines.