ALM Risk Management

Desired Profile :

• Experience of minimum 10+ years plus, working in a bank or a reputed consulting firm in the areas of Liquidity risk management, Liquidity reporting, ALM s FTP, RAROC.
• Comprehensive understanding of Asset Liability Management, Fund Transfer Pricing and Profitability frameworks.
• Experience in developing Policies and procedures for Liquidity risk and IRRBB.
• Understanding risk management metrics and methodologies for liquidity risk and interest rate risk, including Basel III ratios. Deep understanding on the computation of LCR and NSFR at individual component level.
• Deep understanding of liquidity and interest rate risk associated with the various Balances sheet and off-balance sheet products.
• Understanding in conducting behavioral studies for Non maturity deposits (NMDs), Term deposits- early withdrawal and rollover, Loan prepayments and other off-balance sheet products.
• Ability to work with large data sets, SQL, knowledge of VBA programming will be an advantage
• Knowledge of how to configure ALM / FTP systems would be an added advantage.
• Candidate with strong experience of developing / conceptualizing Liquidity risk, FTP, IRRBB frameworks are ideal for this position.