Key Responsibilities

- Monitor market risk exposures across Fixed Income, FX, Equities, Credit, Commodities, and Derivatives portfolios.
- Review key risk measures, including VaR, Expected Shortfall, sensitivities/Greeks, stress losses, scenario analysis, concentration risk, and position exposures.
- Monitor daily limit utilisation across VaR, stress, sensitivity, concentration, issuer, country, product, tenor, position, and stop-loss limits.
- Investigate limit breaches and excesses, assess their materiality and underlying drivers, and ensure timely escalation to relevant stakeholders.
- Coordinate limit-breach remediation, temporary limit approvals, limit changes, and closure of outstanding exceptions in accordance with governance requirements.
- Review existing limits and support the calibration of limits based on business strategy, historical utilisation, portfolio risk, stress outcomes, and approved risk appetite.
- Analyse significant changes in exposure, P&L;, volatility, correlations, liquidity, and market conditions, and communicate key risk drivers to senior management.
- Provide independent risk challenge on current trades, new products, hedging strategies, booking arrangements, and changes in portfolio composition.




- Prepare market risk reports, dashboards, limit-utilisation summaries, breach analysis, and management information for risk committees and senior stakeholders.
- Partner with Front Office, Product Control, Finance, Model Risk, Operations, and Technology to resolve risk-data, methodology, reporting, and control issues.
- Support enhancements to market risk controls, data quality, risk systems, reporting processes, and governance frameworks.
- Contribute to regulatory initiatives and assessments relating to FRTB, Basel market risk requirements, stress testing, and internal capital and risk-management frameworks.

Required Skills and Experience

- Strong understanding of market risk concepts, trading products, risk factors, valuation, P&L;, and portfolio behaviour.
- Hands-on experience in market risk limit monitoring, breach management, escalation, and limit governance.
- Good knowledge of VaR, Expected Shortfall, stress testing, sensitivities, back-testing, P&L; attribution, and concentration risk.
- Understanding of derivatives, including options, futures, forwards, swaps, swaptions, bonds, and structured products.

📌 MR BAU (Mumbai)
🏢 EY
📍 Mumbai