Talent.com
Market Risk Analyst

Market Risk Analyst

DOHA BANKMumbai, Maharashtra, India
12 days ago
Job description

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

    Create a job alert for this search

    Risk Analyst • Mumbai, Maharashtra, India