Asset Liability Management Specialist, VP

Asset Liability Management Specialist, VP

Position Overview

In Scope of Position based Promotions (INTERNAL only)

Job Title: Asset Liability Management Specialist

Corporate Title: Vice President

Location: Mumbai, India

Role Description

• The candidate will be part of the Asset & Liability Management (ALM) function within Treasury responsible for managing the interest rate risk in the banking book (IRRBB).
• The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio. The results are used for risk management decisions and regular internal and external reporting.
• The team recommends and executes hedging and optimization strategies. The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex, and important risk management topics.

What we'll offer you

As part of our flexible scheme, here are just some of the benefits that you'll enjoy

• Best in class leave policy
• Gender neutral parental leaves
• 100% reimbursement under childcare assistance benefit (gender neutral)
• Sponsorship for Industry relevant certifications and education
• Employee Assistance Program for you and your family members
• Comprehensive Hospitalization Insurance for you and your dependents
• Accident and Term life Insurance
• Complementary Health screening for 35 yrs. and above

Your key responsibilities

Identify, measure, and monitor structural risk in the Banking book (IRRBB, CSRBB). This impacts both capital and earnings of the bank.

Some of the key tasks and responsibilities of this VP role will be the following:

Risk Representation: To identify, measure and monitor structural linear and non-linear risk exposures in the banking book portfolios.

• Assess underlying modelling assumptions and understand implications for risk management.
• Develop a thorough understanding of the underlying products (assets and liabilities) driving the banking book risk, including behavioral components.
• Ensuring accuracy and completeness of risk capture as per the governance framework.
• Stay updated on the latest regulatory developments regarding RIBB and update hedging strategies accordingly.
• Liaise with various teams to review the regulatory landscape concerning IRRBB and CSRBB metrics.
• Understand and reflect local market nuances in APAC as part of the risk representation process

Risk Modelling: Ongoing review, assessment and enhancement of IRRBB metrics like NII and EVE sensitivity.

• Engage with methodology teams who develop top risk models for NII and EVE sensitivity for different interest rate scenarios.
• Ensure documentation and implementation of risks not well captured in the IRRBB metrics.
• Prepare remediation plans to capture risk sensitivity in the IRRBB metrics potentially leading to model enhancements.
• Interact with local ALCo and relevant internal governance bodies

Risk Hedging: Provide comprehensive risk insights to formulate hedging strategies and support execution.

Your skills and experience

• At least 7 years of relevant experience with Treasury, ALM, or Risk Management of Banking Book.
• Solid foundation of regulatory environment w.r.t IRRBB, other regulatory capital requirements, and accounting framework.
• Experience working with senior members across various departments including Treasury, Risk, Product Control, Research, Finance, and Valuations.
• Strong exposure and practical experience in pricing, valuation or risk management of fixed income products.
• Good knowledge in data analysis and processing (either of SQL, SAS, R, Python) and statistical analysis.
• University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics) from a premier institute.
• Knowledge of APAC local markets a plus

How we'll support you

• Training and development to help you excel in your career.
• Coaching and support from experts in your team.
• A culture of continuous learning to aid progression.
• A range of flexible benefits that you can tailor to suit your needs.

About us and our teams

Please visit our company website for further information:

We strive for a in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.
Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.
We welcome applications from all people and promote a positive, fair and inclusive work environment.

Skills Required
Sql, Statistical Analysis, Data Analysis, Sas, Python, Risk Management