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 LimitMonitoring of Counter Party LimitsMonitoring of Overdraft in Nostro and Vostro AccountsMonitoring of NOP (Net Open Position), AGL (Aggregate Gap Limits)Monitoring of Stop Loss LimitsGenerating VARMonitoring MTM of FX, Investment, DerivativesMonitoring PV 01, Modified Duration LimitsPreparation of NSFR (Net stable funding ratio)Preparation of LCR (Liquidity Coverage Ratio)Preparation of SLS (Structured Liquidity Statement), IRS (Interest Rate Sensitivity) returnsResponding to DAKSH queries, Audit / Inspection queries, Head Office requirementsMonitoring additional limits, if any, defined in Bank’s Policy & Procedures / defined by regulatorCreating / Amending counter party in Treasury SystemMonitoring VAR Back Testing resultsB) Main Duties (Monthly)
Preparation and submission of Basel III Liquidity ReportGenerating, Preparation and submission of Liquidity Return to RBIGenerating, Preparation and submission of Interest rate Sensitivity Return to RBIPreparing Asset Liability Committee, Investment Committee agenda & minutesMonth end price generation and verification for investments, Forex, DerivativesMonitoring Dealer Call recordsMaintaining proper record of counterparty limits in Treasury System in co-ordination with Head OfficeCoordinating with Vendors / IT team for Treasury system upgrades / issuesSubmission of regulatory returns / Head office returns / local office returns of Market Risk departmentC)Main Duties (Quarterly)
Market Risk and counterparty Capital charge computationPreparation of Counterparty wise Risk StatementSubmission of Risk Appetite figure pertaining to Mid-Office Dept.D) Main Duties (Half Yearly)
Preparing Half yearly Investment ReviewConducting Stress test as per defined frequencyE) Main Duties (Yearly)
To Compile RBS Data related to Market / Liquidity Risk to be submitted to RBIConducting behavioral analysis for SLS, LCR, NSFR, IRSReviewing policies and procedures pertaining to Market RiskEssential 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