AVP-Market And Liquidity Risk

Sumitomo Mitsui Banking Corporation

• • Perform daily and periodic market and liquidity risk reporting for Local Management and Head Office.
  • Conduct independent valuation of derivatives including FX, IRS, OIS, CCS, FRA, vanilla and exotic options, and structured products.
  • Review and validate pricing models, yield curves, volatility surfaces, and key market data inputs used for valuation.
  • Monitor Treasury risk exposures including DV01, PV01, Greeks, basis risks, liquidity indicators, and escalate breaches as required.
  • Calculate, review, and analyse Value at Risk (VaR), stress tests, and scenario analyses for trading and banking book exposures.
  • Prepare and coordinate ALM Committee material including agenda, presentations, and minutes.
  
  • Maintain and periodically update market and liquidity risk policies, methodologies, and procedural documents.
  • Support implementation, enhancement, and UAT of valuation engines, risk systems, and Treasury platforms.
  • Ensure accurate portfolio valuation, proper documentation, and compliance with internal guidelines and regulatory requirements.
  • Provide analytical support across risk-related initiatives and undertake additional tasks assigned by Management / HOD / Supervisor.

Knowledge & Skills

• Minimum 7 years of prior experience is required in the field of core Market Risk Management functions in a Commercial Bank of repute.

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• Strong expertise in derivative products (FX, IRS, OIS, CCS, FRA, options, exotic structures) including valuation methodologies, pricing models, curve construction, and risk sensitivities.
• Proficiency in VBA/macro development, data automation, and handling large datasets for reporting and analytics.
• Strong analytical and quantitative skills with the ability to interpret market data, risk measures, and portfolio behavior.
• Knowledge of VaR, stress testing, scenario analysis, and market risk measurement frameworks applicable to banking and trading books.
• Familiarity with Treasury systems, risk engines, valuation platforms, and market data sources.
• Excellent communication skills for interactions with Treasury, Finance, HO, auditors, and ALM committees.
• FRM / PRM / CISI Risk Management certification is mandatory.

Conducting daily and periodical operations of Market Risk Management Department