Verified Job
Accounting - Finance
Manager Liquidity amp Market Risk Bank 56 yrs
Accounting - Finance
#362638
Remote / WFH
Job Description
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
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
