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Manager- Market Risk

First Abu Dhabi Bank
Mumbai Mumbai Maharashtra, Maharashtra, India
Competitive Salary
Closing date
Feb 28, 2024

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Job Role
Contract Type
Full Time
Job Description

Job Purpose:

This position will assume responsibility in the Market Risk and Asset Liability Risk Management of India Branches. The responsibility covers the assisting the MLR desk on risk monitoring, risk reporting, regulatory reporting, risk governance, and risk analytics. He/she will work in partnership with Global Market to manage balance sheet's liquidity and capital in accordance with regulatory requirement and bank's internal limits and that the market risk taking activities are managed in line with dealer's mandate within risk limits.

The ALM risk scope includes liquidity risk reporting, LCR, NSFR, liquidity stress test, IRRBB and liquidity risk modelling. The market risk scope will cover the FX, Interest Rates, and Fixed-income asset classes both cash and derivatives. This role would also fulfil the requirements of Maker-Checker as required by the Regulator and provide back-up for AVP, Market & Liquidity Risk.

Key Accountabilities:

Market and Liquidity Risk
  • Develop and maintain a good understanding of liquidity and interest rate risk.
  • Prepare daily and monthly risk reporting with substantiation and analysis. The market risk scope includes VaR, DV01, CS01, FX NOP, MAT, and Investment Notional. The ALM risk scope includes the liquidity gap reporting, IRRBB, and liquidity risk ratios stipulated by the RBI including the LCR, NSFR, and Capital Adequacy Ratio.
  • Monitor market risk exposure and the risk limit. Anticipate the risk and substantiate the day-to-day movement in risk and P&L against the market development. Investigate and escalate the breach, and engage Global Markets dealers to rectify the excess.
  • Preparation and submission of regulatory returns like Structural Liquidity Statement (SLS), Interest Rate Sensitivity Statement (IRS), Basel Liquidity Return (BLR), Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) etc.
  • Conduct liquidity and market risk stress test.
  • Liaise with Regional Functional Head and Head Office Functional Head for any matter pertaining to India Market and Liquidity Risk
  • Prepare Risk Slides for ALCO and BRCC pack (and the backup computations)
  • Assist with any other adhoc projects and tasks as required
  • Provide support for FTP Validation
  • Prepare and Submit Credit Risk Returns / Reports
  • Back-up for Middle Office related functions

  • Minimum Master Degree [Post Graduate in Management / Finance, Chartered Accountant] with about 2-5 years of experience in ALM, Market Risk and Risk management.
  • Already involved with the preparation, submission and monitoring of ALM and Liquidity Risk Reports.
  • Good understanding of liquidity risk and regulatory framework (Basel III, LCR, NSFR)
  • Good knowledge of Treasury products: FX, Money Market, Fixed-income and Derivatives
  • Experience in the Risk Regulatory reporting is desirable
  • Good knowledge about risk methodologies: VaR, Stress Test, Liquidity Risk ,Market Risk , Financial modelling
  • Preferably experience in process improvement, UAT and system implementation (Familiarity with Intellect, Murex)
  • Familiar with RBI regulations and policies

Skills: Alm, liquidity risk, INTELLECT, Uat, VaR, Financial Modelling, Process Improvement, Market Risk, Risk Management, Derivatives, Murex, Fx, Money Market, System Implementation, Policies, stress test

Experience: 2.00-5.00 Years

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