Market Risk / Counterparty Credit Risk

Job description

**Position Title : Market Risk/Counterparty Credit Risk** **Department : Market Risk** **Reports To : Head - Market Risk** **Location : Mumbai** **Requirements** Candidate shall have 3 – 10 years of experience in Market Risk/Counterparty credit risk Management in Domestic Private Sector Banks, Indian Branches of Foreign Banks, Public Sector Banks, Risk Consulting **About the Role:** The role is responsible for end to end management of counterparty credit risk arising from derivative and treasury activities. The position covers exposure modeling, limit monitoring, collateral and margining (including SIMM), regulatory capital computation (SA CCR, CVA), and policy governance, with a strong focus on automation and regulatory compliance under RBI framework **Responsibility Areas** **Responsible for Market Risk Management functiion** PFE Modeling & Exposure Analyst Own and monit **or Potential Future Exposure (P** FE) models across OTC derivatives. Review and validate exposure profiles using simulation-based and regulatory methodologies. Perform sensitivity analysis for key market risk factors, including: Interest Rates Foreign Exchange (FX)Volatility Support internal audits, model validation exercises, and regulatory reviews of exposure modeling frameworks. Counterparty Exposure Measurement & Netting Legal Opinions Measure and monitor. Current Exposure (CE)Potential Future Exposure (PFE)Other counterparty exposure metrics at portfolio and counterparty levels. Ensure exposures are calculated at the appropriate netting set level in accordance with legal documentation. Coordinate with Legal teams to: Maintain valid and up-to-date netting legal opinions. Assess enforceability by jurisdiction, counterparty type, and product scope. Ensure accurate recognition of netting and collateral benefits in exposure and regulatory capital calculations. Escalate documentation deficiencies or legal enforceability concerns that may impact exposure recognition. Counterparty Limit Monitoring & Governance Monitor daily utilization of counterparty credit limits, sub-limits, and tenor limits. Identify abnormal exposure movements, concentration risks, and limit breaches. Support periodic limit reviews through: Exposure trend analysis Stress testing results Utilization analytics Partner with Front Office and Credit Risk teams on limit rationalization and risk mitigation strategies. Collateral & Margin Risk Management (Including ISDA SIMM) Monitor collateralized exposures under Credit Support Annexes (CSAs), including: Variation Margin (VM)Initial Margin (IM)Review collateral eligibility, valuation haircuts, concentration risks, and wrong-way risk exposures. Implement and manage the ISDA Standard Initial Margin Model (SIMM), including: Sensitivity-based Initial Margin calculations Validation of SIMM parameters, risk weights, and methodology Ensure accurate collateral recognition and margin risk reporting. RBI Regulatory Reporting & Capital Computation Prepare, validate, and reconcile counterparty credit risk inputs for RBI regulatory submissions. Compute and review: Credit Valuation Adjustment (CVA) and incurred CVA Counterparty Credit Risk (CCR) Capital Charges SA-CCR exposures and related capital requirements Ensure consistency across risk systems, finance records, and regulatory reports. Support ICAAP stress testing, supervisory assessments, and regulatory examinations. Respond to RBI inspections, internal audit reviews, and model validation queries Counterparty Credit Risk Policy & Framework Draft, review, and maintain Counterparty Credit Risk (CCR) policies, standards, and procedures. Ensure policy alignment with RBI regulations and the organization's risk appetite framework. Define standards and methodologies covering: Exposure measurement Netting and collateral recognition Stress testing Wrong-Way Risk (WWR) identification and monitoring Support governance forums, risk committees, and policy approval processes. Automation & Change Management Initiatives Lead or support automation and transformation initiatives related to : ISDA SIMM implementation SA-CCR exposure and capital computation Daily PFE and exposure reporting Reduce manual processes, operational risks, and control breaks through system enhancements. Support new product launches, regulatory change programs, and system implementations from a Counterparty Credit Risk perspective. Drive continuous improvement in risk reporting, analytics, and control frame **works.** **Qualification :** Educational / Professional Qualification: Chartered Accountant, IIM/ IIT, MBA from tier 1 institute / NIBM. Risk Management qualification like FRM / PRM / CFQ or CFA will have an added advantage **Required Skills** Familiarity with Murex / Calypso / SAS will have additional advantage Strong analytical and problem solving skills. Proficient with MS Excel and Excel Macro Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests. Well organized and ability to perform under stringent time line pressures without compromising on the end result quality Understanding of R Studio / Python would be an added advantage