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Manager Market Risk ALM

Bengaluru, KA
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  • Banking & Finance
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Job Details

Perform the activities of treasury middle office and ensure compliance to internal policies and guidelinesProvide inputs to CRCO in assessing the risk profile of treasury operations and provide timely and accurate reportsReview, check and ensure all internally executed deals are processed within the framework of the Bank's policies, procedures and the regulatory environmentPRIMARY RESPONSIBILITIES Business Responsible for implementation of Treasury, ALM and Risk Management systems and interact closely with the vendors and implementation partners.Prepare and periodically review the investment policy, stress testing policy, ALM policy and liquidity risk framework and amendments thereto as and when required.Provide inputs to CRCO in assessing the risk of all new products, fixing of limits and amendments in the relevant policiesPrepare and recommend the department's budget by preparing analysis and data related to specific elements as directedAnalyze and provide reports to CRCO about daily trading P&L of the Bank, issuer wise, counterparty wise exposures, and the risk taken by the bank including drafting of reports and recording minutes of ALCO, Investment committee etc.Responsible for daily computation of CRR and SLR maintenancePropose and implement procedures and controls covering all activities of treasury middle office so that all relevant procedural/legislative requirements are fulfilledCustomer Adhere to Service Level Agreements and Turnaround time defined for Treasury middle office operationsInternal process Monitor the valuation of investment portfolio, computation of MTM and profit & loss of Treasury desk.Monitor the valuation of Domestic portfolio on a monthly basis to have correct risk measurement, monitoring and reporting in placePerform liquidity risk measurement through cash flow reports and balance sheet ratiosCompute risk measures as per modified duration for entire portfolio; report the same to CRCOConduct intra-day rate scans and flag exceptions based on pre-defined variances to the appropriate authoritiesLiaison with Front office for market analysis and determining reasons for breaches; share ratifications with CRCOCreate client/counterparty Master creation in Treasury system and limit setup; prepare limit utilization reports and submission to appropriate authoritiesMonitor all the limits mentioned in the Investment Policy on a daily basis and report to CRCO; follow-up on action taken on limit breaches on a daily basisPrepare and periodically review market risk related policies and methodologies for valuation of investment portfolio productsValidate models on a half-yearly basis to review whether the input data and assumptions used for computation of capital charge are appropriate, modelling methodology is adopted and perform back testing of models to compare the resultsBuild scenarios and carry out stress testing on trading portfolio of the bank; and for liquidity & interest rate riskSupervise the day-to-day operations of the department to ensure that work processes are implemented as designed and comply with established policies, processes and procedures.Prepare regulatory reports and compliance with Pillar III disclosures; prepare LAF/Repo/Reverse Repo/CRR/SLR reports, statutory reports and other internal MIS reportsCo-ordinate with statutory auditors, concurrent auditors, RBI inspections officers, Internal inspection and submission of replies and compliance reports in coordination with Finance and Risk Management DepartmentLearning & Performance Ensure adherence to training man-days/ mandatory training programs for selfEnsure goal-setting, midyear -review and annual appraisal process happens within specified timelines for selfKEY INTERACTIONS((Who does this position interact with on a regular basis to perform this role?)Internal Interface External InterfaceTreasury Front Office Regulatory authoritiesTreasury Back Office Internal auditorsHead Audit External auditorsChief Financial OfficerPERFORMANCE METRICS Balanced Scorecard Perspective Key Result Area Key Performance IndicatorsBusiness Bottom line NACustomer Customer Satisfaction Incidents of delays/inaccuracies in MIS and reports provided to CRCOInternal Process Regulator SatisfactionRating in Internal Audit (pertaining to Treasury middle office operations)Adherence to TAT for RBI reportingNumber of instances of ALM mismatches with limitsOperational EfficiencyAdherence to TAT for submission of MIS and reportsNumber of Compliance/Audit deviations related to treasury middle office operationsLearning & Performance Capability Building Training man-hours attended for selfPerformance Management Adherence to timelines for completion of PMS for selfROLE REQUIREMENTS Desired Qualification Chartered Accountant/ MBA from reputed institution/ Post Graduate in Commerce/Business/Economics or related subjects. CAIIB/ Risk qualification would be added advantage.Desired Experience 6-8 years of working experience in banking risk or treasury middle office operationsFUNCTIONAL KNOWLEDGE AND SKILLS Good analytical, reporting and spreadsheet skills.Knowledge of treasury middle office operationsTreasury modelling knowledgeUnderstanding of banking instruments, procedures and dealing practicesKnowledge of regulatory compliance requirementsBEHAVIOURAL COMPETENCIES Accuracy and attention to detailNumerical abilityAble to work accurately and under high pressure within fixed and short timeframesPro-active, self-initiative approachResult and quality oriented
Degree: CA (Chartered Accountant) | MBA/ PGDM

Additional Degree: BA (Arts) | B.Com. (Commerce) | B.Pharm. (Pharmacy) | B.Plan. (Planning) | B.Sc. (Science) | BBA/ BBM/ BBS | BCA (Computer Application) | Diploma-Other Diploma | B.Ed. (Education) | BHM (Hotel Management)

Experience: 6-8


Personal/ Retail Banking | Project/Structured Finance | Risk/Credit/Economic Analyst | Treasury
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