AVP- Market & Liquidity Risk

Job Description

JOB PURPOSE:

This position will assume responsibility in the Market Risk and Asset Liability Risk Management of India Branches. The responsibility covers the risk monitoring, risk reporting, regulatory reporting, risk governance, and risk analytics. He/she will work in partnership with Global Market to manage balance sheet's liquidity and capital in accordance with regulatory requirement and bank's internal limits and that the market risk taking activities are managed in line with dealer's mandate within risk limits. The ALM risk scope includes liquidity risk reporting, LCR, NSFR, liquidity stress test, IRRBB and liquidity risk modelling. The market risk scope will cover the FX, Interest Rates, and Fixed-income asset classes both cash and derivatives.

KEY ACCOUNTABILITIES:

Market and Liquidity Risk

• Prepare daily and monthly risk reporting with substantiation and analysis. The market risk scope includes VaR, DV01, CS01, FX NOP, MAT, and Investment Notional. The ALM risk scope includes the liquidity gap reporting, IRRBB, and liquidity risk ratios stipulated by the RBI including the LCR, NSFR, and Capital Adequacy Ratio.
• Monitor market risk exposure and the risk limit. Anticipate the risk and substantiate the day-to-day movement in risk and P&L against the market development. Investigate and escalate the breach, and engage Global Markets dealers to rectify the excess.
• Work in partnership with business stakeholders to develop the market and liquidity risk appetite including the formulation of funding strategy and balance sheet forecast.
• Liquidity Risk regulatory reporting including LCR and NSFR
• Perform the daily risk forecast simulation of market risk and liquidity risk. Discuss risk findings and provide recommendations to Global Market desks.
• Conduct liquidity and market risk stress test.
• Take ownership of all other matters pertaining to India Market and Liquidty Risk. Liaise with Regional Functional Head and Head Office Functional Head.
• Review and update the relevant policies and standard operating procedures.
• Streamline risk reporting to support business growth and infrastructure integration
• Participate in the Global Market and Risk projects including the Benchmark Rate Transition and OTC Derivatives Margin Exchange
• Assist with any other adhoc projects and tasks as required

Additional Responsibilities

• Permanent Member of India ALCO and involved with submission of ALCO data pack, review, presentation and approval, as required.
• Oversee the Credit Risk Returns / Reports preparation and filing
• Compiling the Risk slides for ALCO and BRCC pack (and the backup computations)
• Provide support for FTP Validation
• Back-up for Middle Office related functions

Qualifications

• Minimum Master Degree [Post Graduate in Management / Finance, Chartered Accountant] with about 5-10 years of experience in ALM, Market Risk and Risk management.
• Already involved with the preparation, submission and monitoring of ALM and Liquidity Risk Reports.
• Good understanding of liquidity risk and regulatory framework (Basel III, LCR, NSFR)
• Strong knowledge of Treasury products: FX, Money Market, Fixed-income and Derivatives
• Excellent knowledge of liquidity risk and regulatory framework
• Experience in the Risk Regulatory reporting is desirable
• Strong knowledge about risk methodologies: VaR, Stress Test, Liquidity Risk ,Market Risk , Financial modelling
• Experience in process improvement, UAT and system implementation (Familiarity with Intellect, Murex)
• Well versed with RBI regulations and policies

Additional Experience would be a plus:

• Good understanding of Market Risk, MVE and EAR
• Exposure to ICAAP preparation / validation would be an added advantage
• CFA or FRM Charter holder is a plus

Skills:

• Strong analytical skill
• Excellent excel spreadsheet skill (VBA programming will be advantage)
• Strong communication and interpersonal skills
• Ability to multi-task, proactive and deliver within deadline
• Ability to work independently and is self-motivated. Strong team player.
• Willing to learn and contribute. Result oriented. Customer service oriented.
• Positive attitude towards changes and process improvement.