Market Risk Analyst

Role Objective :

To monitor counterparty Limits, Currency Limit, Stop Loss Limit, Liquidity Limits preparations and submission of various reports to RBI / Head office / local office pertaining to Liquidity and Interest Rate Risk.

Preparation and submission of Structural Liquidity Statement, Interest Risk Sensitivity Statement, Basel III regulatory reports to RBI.

Detailed Roles and Responsibilities :

A) Main Duties

Monitoring Dealer and Currency wise Limit

Monitoring of Counter Party Limits

Monitoring of Overdraft in Nostro and Vostro Accounts

Monitoring of NOP (Net Open Position), AGL (Aggregate Gap Limits)

Monitoring of Stop Loss Limits

Generating VAR

Monitoring MTM of FX, Investment, Derivatives

Monitoring PV 01, Modified Duration Limits

Preparation of NSFR (Net stable funding ratio)

Preparation of LCR (Liquidity Coverage Ratio)

Preparation of SLS (Structured Liquidity Statement), IRS (Interest Rate Sensitivity) returns

Responding to DAKSH queries, Audit / Inspection queries, Head Office requirements

Monitoring additional limits, if any, defined in Bank’s Policy & Procedures / defined by regulator

Creating / Amending counter party in Treasury System

Monitoring VAR Back Testing results

B) Main Duties (Monthly)

Preparation and submission of Basel III Liquidity Report

Generating, Preparation and submission of Liquidity Return to RBI

Generating, Preparation and submission of Interest rate Sensitivity Return to RBI

Preparing Asset Liability Committee, Investment Committee agenda & minutes

Month end price generation and verification for investments, Forex, Derivatives

Monitoring Dealer Call records

Maintaining proper record of counterparty limits in Treasury System in co-ordination with Head Office

Coordinating with Vendors / IT team for Treasury system upgrades / issues

Submission of regulatory returns / Head office returns / local office returns of Market Risk department

C)Main Duties (Quarterly)

Market Risk and counterparty Capital charge computation

Preparation of Counterparty wise Risk Statement

Submission of Risk Appetite figure pertaining to Mid-Office Dept.

D) Main Duties (Half Yearly)

Preparing Half yearly Investment Review

Conducting Stress test as per defined frequency

E) Main Duties (Yearly)

To Compile RBS Data related to Market / Liquidity Risk to be submitted to RBI

Conducting behavioral analysis for SLS, LCR, NSFR, IRS

Reviewing policies and procedures pertaining to Market Risk

Essential Skills / Qualifications / Experience required :

a) Professionally qualified (CA, MBA, CFA, FRM, Certificate in Risk in Financial services)

b) At least 5 years of experience in the Market / Liquidity Risk management

c) Proficiency in MS-Excel / VBA

d) Fluent communication skills

e) Good understanding of Treasury Systems like Bloomberg, Refinitiv, Finacle Treasury etc