This is an exciting role with significant Treasury front office interaction, covering trading, sales and asset and liability management across FX and interest rates asset classes. Product scope includes bonds, interest rate swaps, FX swaps, futures and options.

The key focus of the role is the active involvement in the implementation of a new Global Markets Platform (front office treasury system) which will cover:
- VaR computation
- Market Risk Limits Monitoring
- FRTB Market Risk Capital computation

Apart from project implementation, the role would also involve ensuring timely and accurate delivery of reporting and monitoring of Global Markets business activities. You will be part of a team which is responsible for:
- VaR and Stress testing, including ICAAP and supervisory stress testing
- Monitoring of trading exposures to highlight key portfolio risks and areas of high limits utilization.
- Market Risk Capital computation, including regulatory market risk capital computation and implementation of new regulatory - market risk framework.
- Implementation of controls and processes to ensure adherence to market risk policies and guidelines.
- Be a key contact point for market risk issues, interacting with Treasury front office traders, Finance, Product Controllers and Group Head Office counterparts.

You should have a sound knowledge of global market business as well as various front office treasury systems used to generate risk and profit & loss numbers. A good understanding of valuation concepts, market risk methodologies and various data elements used for valuation of financial products, as well as familiarity with regulations governing the global markets treasury business are essential.