Liquidity risk-
- Responsible for building and implementing Liquidity Risk Framework (LRM) as per regulatory guidelines in close coordination with Treasury /Finance and accounts team.
- Lead in deep dive and ad-hoc projects on Liquidity and Treasury Risk matters which includes coordination with Businesses, Treasury, Risk, IT, and Reporting teams.
- Produce and deliver risk presentations to senior management and regulators.
- Anticipate and addresses audit and regulatory concerns regarding the Liquidity and Treasury risk framework, governance, and operations
- Responsibilities will include addressing the Liquidity and Treasury risk management needs for major global and regional initiatives. One will cover a wide range of products, businesses, and liquidity metrics /topics on these initiatives for Stress Testing, Liquidity coverage ratio (LCR), Net stable funding Ratio (NSAR) , Internal Liquidity adequacy assessment process (ILAAP), Intraday, Cash Flows, and Secured and Unsecured Funding.
- Good knowledge of Basel 3 norms and calculating charge on Liquidity and Market Risk.
- As 2nd LoD one will review and challenge business strategies, funding plans, and model assumptions. Also, deliver changes for the overall improvement of the Liquidity Risk Department.
- Look out for regulatory developments and opine to management the impact on Liquidity and Funding risk management measurement practices.
Market Risk-
- Responsible for set-up and review of the Market Risk and Counter party Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Bank strategy, products and regulatory requirements.
- Responsible for setting / review of market risk limits and help to put up for MRC/RMCB/BoD for approval and monitor the Market Risk limits as per the approved policies. Review of pre-approved list of investments.
- Responsible for setting up / configuration of new product / risk factor / instrument etc. in the treasury / risk system.
- Responsible for setting and review of valuation methodologies for the FX and derivatives as well as investment portfolio of the Bank based on regulatory guidelines and market best practices.
- Conduct Market Risk stress testing and monitor the stress test PL on a quarterly basis.
- Compute monitor the Market Risk Capital Charge as per methodology prescribed by RBI.
- Compute and monitor the Counter party Credit Risk Exposure / Charge (CEM/CVA) as per the RBI guidelines.
- Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits.
- Compute Stressed VaR for the trading book on a periodic basis.
- Conduct Back testing of VaR and put up the results to MRC on periodic basis.
- Review of PFE calibration parameters on a periodic basis and monitoring the counterparty exposure as per the approved policy.
- Monitor illiquidity charge for the investment portfolio under normal and stressed scenarios as per the approved methodology.
- Conduct hedge effectiveness testing as per the frequency detailed in the hedge strategy documents
- Be responsible for Periodic review of market data configured in the system used for valuation and risk estimation.
- Ensure the correctness of pricing models in Treasury systems periodically.
- Be responsible for RBS data submission related to Trading risk.
- Responsible for Bank s preparedness and regulatory submission with respect to Market Risk for Ind-As.
- Set up and review of policies for Ind-As.
- Responsible for computation and monitoring the Fair value of Investments / Fx derivatives, Market Risk Capital Charge, Expected Credit Loss (ECL) for the investment portfolio and CVA/DVA charge for Fx derivatives.
- Facilitate business to exchange the VM, by validating the Bank s / Counterparty s MTM under CSA Liaise with internal departments on Market risk related issues.
Secondary Responsibilities -
- Responsible to track regulatory developments and share impact assessment as and when required.
Responsible to interact with audit teams (internal / Stat ) and provide required clarifications for all the queries raised by them. Additionally, responsible to submit data required by RBI / Stat / Internal Audit teams
