Senior Manager/Assistant Vice President - Market Risk - Treasury

Experience:

- 2-3 years of derivatives valuation, curve constructions and market risk management.

- Experience of FRTB, SA-CCR and counterparty credit risk.

- Risk measures: VaR, PV01, duration, option Greeks, and stress testing.

- Review and validate valuation methodologies for treasury products.

- Basel III market-risk capital, CVA, prudential valuation adjustments.

Systems:

- Calypso, Murex, SAS Market Risk, or similar trading/risk platforms.

Technical Skills:

- SQL, SAS, and Power Query.

Qualification:

- MBA Finance; FRM, PRM, or CFA preferred.