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 Backtesting 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, CMGInsti, CMG Retail, Digital, Unsecured, Mortgage.
- RBI Audit:

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📌 Team Member (Thane)
🏢 Aditya Birla Insulators
📍 Thane