Liquidity Risk Manager - CA / FRM

JD - Liquidity and Market Risk Manager

Experience - Open

Location - Jaipur

Skills and qualification:

- CA and CFA / FRM certification mandatory

- 4-5 year of exp in Market Risk methodology role

- Preference - Indian Banks, Big 4

- Proficiency in building models on tools e.g python , SAS ,R etc

Liquidity Risk :

- Responsible for building and implementing Liquidity Risk Framework (LRM) as per regulatory guidelines in close coordination with Treasury /Finance and accounts team.

- Lead in deep dive and ad-hoc projects on Liquidity and Treasury Risk matters which includes coordination with Businesses, Treasury, Risk, IT, and Reporting teams.

- Produce and deliver risk presentations to senior management and regulators.

- Anticipate and addresses audit and regulatory concerns regarding the Liquidity and Treasury risk framework, governance, and operations

- Responsibilities will include addressing the Liquidity and Treasury risk management needs for major global and regional initiatives. One will cover a wide range of products, businesses, and liquidity metrics /topics on these initiatives for Stress Testing, Liquidity coverage ratio (LCR), Net stable funding Ratio (NSAR) , Internal Liquidity adequacy assessment process (ILAAP), Intraday, Cash Flows, and Secured and Unsecured Funding.

- Good knowledge of Basel 3 norms and calculating charge on Liquidity and Market Risk.

- As 2nd LoD one will review and challenge business strategies, funding plans, and model assumptions.

- Also, deliver changes for the overall improvement of the Liquidity Risk Department.

- Look out for regulatory developments and opine to management the impact on Liquidity and Funding risk management measurement practices.

Market Risk :

- Responsible for set-up and review of the Market Risk and Counterparty Credit Risk Policies / Frameworks. Propose amendments based on changes in risk profile due to changes in the Bank strategy, products and regulatory requirements

- Responsible for setting / review of market risk limits and help to put up for MRC/RMCB/BoD for approval and monitor the Market Risk limits as per the approved policies. Review of pre-approved list of investments.

- Responsible for setting up / configuration of new product / risk factor / instrument etc. in the treasury / risk system.

- Responsible for setting and review of valuation methodologies for the FX and derivatives as well as investment portfolio of the Bank based on regulatory guidelines and market best practices

- Conduct Market Risk stress testing and monitor the stress test PL on a quarterly basis.

- Compute monitor the Market Risk Capital Charge as per methodology prescribed by RBI

- Compute and monitor the Counterparty Credit Risk Exposure / Charge (CEM/CVA) as per the RBI guidelines.

- Set-up and review the VaR methodology for trading book and monitor VaR against the approved limits. Compute Stressed VaR for the trading book on a periodic basis.

- Conduct Back testing of VaR and put up the results to MRC on periodic basis.

- Review of PFE calibration parameters on a periodic basis and monitoring the counterparty exposure as per the approved policy.

- Monitor illiquidity charge for the investment portfolio under normal and stressed scenarios as per the approved methodology

- Conduct hedge effectiveness testing as per the frequency detailed in the hedge strategy documents

- Be responsible for Periodic review of market data configured in the system used for valuation and risk estimation.

- Ensure the correctness of pricing models in Treasury systems periodically

- Be responsible for RBS data submission related to Trading risk

- Responsible for Bank s preparedness and regulatory submission with respect to Market Risk for Ind-As.

- Set up and review of policies for Ind-As.

- Responsible for computation and monitoring the Fair value of Investments / Fx derivatives,

- Market Risk Capital Charge, Expected Credit Loss (ECL) for the investment portfolio and CVA/DVA charge for Fx derivatives.

- Facilitate business to exchange the VM, by validating the Bank s / Counterparty s MTM under CSA

- Liaise with internal departments on Market risk related issues.

Secondary Responsibilities:

- Responsible to track regulatory developments and share impact assessment as and when required.

- Responsible to interact with audit teams (internal / Stat ) and provide required clarifications for all the queries raised by them. Additionally, responsible to submit data required by RBI / Stat / Internal Audit teams