Job Purpose Job Purpose Description
ICAAP:
Computation
Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.
Model Development
Development of stress testing models in compliance with the regulatory guidelines.
Documentation
Responsible for the documentation of ICAAP.
Risk Appetite Statement/Enterprise Risk
Computation of various risk types on the basis on key risk metrics.
Aggregate the various risk types to compute an Enterprise Risk score.
Build Model and maintain documentation and track necessary deliverables
VAR




Model Development
Design, develop and test VAR Models.
Model Validation
Perform Back-testing and sensitivity analysis of VAR model.
Documentation
Prepare and maintain documentation for the VAR model.
Sensitivity Analysis on various portfolio cuts:
Perform Sensitivity Analysis on various portfolio cuts.
Audit Closure
Statutory/Internal Audit
To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.
RBI Audit

📌 Team Member Regulatory Reporting Maharashtra (India)
🏢 Aditya Birla Capital
📍 India