Verified Job
Accounting - Finance
Manager Liquidity amp Market Risk Bank 56 yrs
Accounting - Finance
#360913
Remote / WFH
Job Description
Apply on Trabajo.org
Manager - Liquidity & Market Risk - Bank (5-6 yrs)
iimjobs
Jaipur, Rajasthan
Apply on Trabajo.org
10 hours ago
Full–time
Manager - Liquidity & Market Risk - CA/FRM
JD - Liquidity and Market Risk Manager
Experience - Open
Location - Jaipur
Skills and qualifications:
- CA and CFA / FRM certification mandatory
- 4-5 years of exp in a Market Risk methodology role
- Salary-15-20 LPA
- Preference - Indian Banks, Big 4
- Proficiency in building models on tools e.g python, SAS, R, etc
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 charges 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 manage the impact on Liquidity and Funding risk management measurement practices.
Market Risk :
- Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Banks strategy, products, and regulatory requirements
- Responsible for setting/review of market risk limits and helping to put up for MRC/RMCB/BoD for approval and monitoring the Market Risk limits as per the approved policies. Review of pre-approved list of investments.
- Responsible for setting up / configuration of new products/risk factors/instruments etc. in the treasury/risk system.
- Responsible for setting and review of valuation methodologies for the FX and derivatives as well as the 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 Counterparty Credit Risk Exposure / Charge (CEM/CVA) as per the RBI guidelines.
- Set up and review the VaR methodology for trading books and monitor VaR against the approved limits. Compute Stressed VaR for the trading book on a periodic basis.
- Conduct Backtesting of VaR and put up the results to MRC on a periodic basis.
- Review PFE calibration parameters on a periodic basis and monitor 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 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 sharing impact assessments 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
Manager - Liquidity & Market Risk - Bank (5-6 yrs)
iimjobs
Jaipur, Rajasthan
Apply on Trabajo.org
10 hours ago
Full–time
Manager - Liquidity & Market Risk - CA/FRM
JD - Liquidity and Market Risk Manager
Experience - Open
Location - Jaipur
Skills and qualifications:
- CA and CFA / FRM certification mandatory
- 4-5 years of exp in a Market Risk methodology role
- Salary-15-20 LPA
- Preference - Indian Banks, Big 4
- Proficiency in building models on tools e.g python, SAS, R, etc
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 charges 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 manage the impact on Liquidity and Funding risk management measurement practices.
Market Risk :
- Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Banks strategy, products, and regulatory requirements
- Responsible for setting/review of market risk limits and helping to put up for MRC/RMCB/BoD for approval and monitoring the Market Risk limits as per the approved policies. Review of pre-approved list of investments.
- Responsible for setting up / configuration of new products/risk factors/instruments etc. in the treasury/risk system.
- Responsible for setting and review of valuation methodologies for the FX and derivatives as well as the 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 Counterparty Credit Risk Exposure / Charge (CEM/CVA) as per the RBI guidelines.
- Set up and review the VaR methodology for trading books and monitor VaR against the approved limits. Compute Stressed VaR for the trading book on a periodic basis.
- Conduct Backtesting of VaR and put up the results to MRC on a periodic basis.
- Review PFE calibration parameters on a periodic basis and monitor 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 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 sharing impact assessments 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
