Job Title: Asset Liability Management Specialist
Corporate Title: Vice Presiden
tLocation: Mumba
i
Role Descript
ionThe candidate will be part of the Asset & Liability Management (ALM) function within Treasury responsible for managing the interest rate risk in the banking book (IRRBB). The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio. The results are used for risk management decisions and regular internal and external reporting. The team recommends and executes hedging and optimization strategies. The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex, and important risk management topic
s.s
What we'll offe
r youAs part of our flexible scheme, here are just some of the benefits that you'll
- enjoyBest in class leave p
- olicyGender neutral parental l
- eaves100% reimbursement under childcare assistance benefit (gender neu
- tral)Sponsorship for Industry relevant certifications and educ
- ationEmployee Assistance Program for you and your family me
- mbersComprehensive Hospitalization Insurance for you and your depen
- dentsAccident and Term life Insu
- ranceComplementary Health screening for 35 yrs. and
above
Your key responsib
ilitiesIdentify, measure, and monitor structural risk in the Banking book (IRRBB, CSRBB). This impacts both capital and earnings of th
e bank.Some of the key tasks and responsibilities of this VP role will be the fol
- lowing:Risk Representation: To identify, measure and monitor structural linear and non-linear risk exposures in the banking book port
- folios.Assess underlying modelling assumptions and understand implications for risk mana
- gement.Develop a thorough understanding of the underlying products (assets and liabilities) driving the banking book risk, including behavioral comp
- onents.Ensuring accuracy and completeness of risk capture as per the governance fra
- mework.Stay updated on the latest regulatory developments regarding RIBB and update hedging strategies accor
- dingly.Liaise with various teams to review the regulatory landscape concerning IRRBB and CSRBB m
- etrics.Risk Modelling: Ongoing review, assessment and enhancement of IRRBB metrics like NII and EVE sensi
- tivity.Engage with methodology teams who develop top risk models for NII and EVE sensitivity for different interest rate sce
- narios.Ensure documentation and implementation of risks not well captured in the IRRBB m
- etrics.Prepare remediation plans to capture risk sensitivity in the IRRBB metrics potentially leading to model enhanc
- ements.Risk Hedging: Provide comprehensive risk insights to formulate hedging strategies and support exe
cution.
Your skills and e
- xperienceAt least 7 years of relevant experience with Treasury, ALM, or Risk Management of Bank
- ing Book.Solid foundation of regulatory environment w.r.t IRRBB, other regulatory capital requirements, and accounting f
- ramework.Experience working with senior members across various departments including Treasury, Risk, Product Control, Research, Finance, and Va
- luations.Strong exposure and practical experience in pricing, valuation or risk management of fixed income
- products.Good knowledge in data analysis and processing (either of SQL, SAS, R, Python) and statistical
- analysis.University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics) from a premier i
nstitute.
How we'll
- support youTraining and development to help you excel in
- your careerCoaching and support from experts i
- n your teamA culture of continuous learning to aid
- progressionA range of flexible benefits that you can tailor to suit
your needs
About us
and our teamsPlease visit our company website for further
information:https://www.db.com/compan
y/company.htm
