Senior Consultant/Manager - Market Risk

Required Skill set:

• Understanding and experience in the area of ALM Risk, including Liquidity Risk and Interest Rate Risk, specifically LCR, NSFR, IRRBB, Liquidity, and Repricing Gap, Duration & Yield Analysis, Valuation, Balance Sheet Modeling, behavioral prepayment models.

• Experience in VaR (Historical, parametric, Monte Carlo), RNiV, IRC, Expected Shortfall, Stressed VaR, Backtesting, etc.

• Understanding of Trading Risk sensitivities like PV01, PVBP, Duration, Option Greeks such as Delta, Gamma, Vega. Counterparty Credit Risk measures including, PFE, SCVA, BCVA, etc.

• Understanding of various derivatives and exotic, and Pricing theories

• Understanding of interest rate curve construction/IR calibration, volatility models.

- Understanding of the ALM modelling and historical analysis, develop supporting assumptions and run the ALM modelling per Policy, backtesting, and validation of ALM indicators, assumptions.

Relevant experience:

- Experience in developing and maintaining policies and frameworks including ALM, Investment policies, FX policies, Fund Transfer Pricing policy, Counterparty Credit Risk (CCR), and other Market Risk.

• Monthly monitoring of ALCO limits of Market risk limits, market rate scan, and trend analysis.

- Assistance in ALCO & RMC pack

• Contingency funding plan and testing

• Market Risk Capital Charge, IRRBB Capital Charge, Net Interest Income at Risk, Economic Value of Equity

• Develop and set operating limits, measure, and monitor the risk level /limits per the policies and reporting.

- Support in RBI, Statutory and Internal audit

• Stress Testing, Scenario & Sensitivity Analysis of Market Risk, Liquidity Risk, and IRRBB parameters

• Preparation and submission of Regulatory returns, covering liquidity and Interest rate risk e.g. Structural Liquidity statement (LR returns), Interest rate sensitivity statement, BLR returns (Basel Liquidity Returns)

• Experience in developing/validating methodology for the quantitative analysis required on various workstream for FRTB

• Prepare reports and analysis specified by ALM (funding concentration, NII simulation, Liability profile analysis, EVE and EaR simulations, basis risk, and optionality).

• Net Interest Income at Risk, Economic Value of Equity

- ICAAP (specific sections related to market risk, IRRBB, Liquidity)

Educational qualification and language skills:

• Should have excellent communication skills (oral, written, and email drafting skills)

• Postgraduate with minimum 3 years of experience in the Banks, NBFCs

• Knowledge of local markets and regulatory landscape

- Certificates like CFA, FRM, CQF is added advantage