– Market risk limit monitoring including PV01 limits, VaR and Open position limits across product categories
– Responsible for ensuring the maintenance of correct limits across systems and manual risk adjustments as and when required
– Accurate revaluation of the Treasury Products through review of the curves and the source data used for revaluation
– Off-market checking of the Treasury transactions across product categories like FX and Money market
– Compute Fair value adjustment for different products as per the requirement
– Handling Tax Transfer Pricing Benchmarking and queries for Investments, money market transactions and derivative trades between group entities
– Supporting ALCO/EXCO submissions
– Investigation of the new deals PnL and daily PnL movements
– Performing the VaR back-testing on a daily basis
– Manage operational risk in the desk including the assessment and mitigation of these risks
– Maintenance of SOX identified controls relevant to the desk
– To thoroughly understand all treasury products and the various systems required in a dynamically changing environment and evaluate their operational and reporting requirements and implement the same.
– Have a good understanding of the risks and economic impact of the different treasury products
– To manage ever-growing complexity and reporting requirements within existing limited resources, short time frames and system limitations.
– To comply with internal, RBI regulations and ensure internal and regulatory audits are satisfactory
– To manage and meet the growing requirements of transfer pricing.
Educational Qualification: CA or MBA
Finance and Accounts, India, Management, Mumbai