Reference 260002MB

Responsibilities

Responsibilities

Solvency:

The chief responsibility will be to perform the monthly & quarterly credit risk reporting activities.
You are also expected to perform & supervise the data consistency checks, reconciliations (inventory

vs risk, accounting vs risk) and perform exception management in case of any breaks encountered in

the recompilations.

Additionally, you are expected to contribute to the improvement of the existing process and comeup with new ideas that can bring value and efficiency to the process.
Responsible for producing reports and metrics on the Credit Risk perimeter to consistently feed both

external (meet the requirements of the regulator in terms of IFRS 9.2, BCBS239 and others) and

internal (BU, RISQ, DFIN) uses. The prudential solvency metrics and reporting produced by DFIN are

set out as follows:

EAD – Quarterly calculation;
RWA – Quarterly calculation;
EL – Quarterly calculation;
ECL IFRS 9 – Quarterly calculation with only GBIS at M-1 scope;

Required

Profile required

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Functional Requirement: Solvency

Basel III and IV Regulations
IFRS Standards
Risk Data with Accounting & Inventory. Banking, Accounting, Finance concept
Understanding Bank's financial Statement, Accounting & Risk computation
Making Adjustment based on Basel reporting in accordance with BCBS239
Capital adequacy according to the IRBA method, computes its Risk Weighted Assets (RWA),

Expected Loss (EL = PD x LGD x EAD) and Expected Credit Loss ((ECL) in accordance with IFRS 9)

considering the nature of the transaction, the soundness of the counterparty (through internal

rating) and any measures taken to mitigate the risk (see Depreciations and provisions for credit risk

Understanding Credit Risk RWA
Securitization
FINREP / COREP reporting

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