To support market risk management through analysis of market exposures, risk indicators and portfolio performance. The role evaluates market risks and provides recommendations that support effective risk governance and decision-making.
Responsibilities
• Prepare daily Treasury Risk Tracker and monitor key market risk exposures across treasury portfolios.
• Perform daily valuation of investment portfolios and ensure accurate reporting of portfolio positions.
• Conduct daily market risk stress testing and analyze the impact of adverse market scenarios on the Bank's portfolio.
• Monitor adherence to approved market risk limits and escalate breaches as per established governance procedures.
• Compile and validate data for Interest Rate Sensitivity Statements, Duration Gap reports, and other regulatory submissions.
• Perform IC5 verification and monitor daylight limits in accordance with internal policies and regulatory requirements.
• Monitor Net Open Position (NOOP) limits and foreign exchange exposures.
• Conduct Forex Value at Risk (VaR) monitoring and report significant risk movements.
• Monitor limits relating to placement of Foreign Currency Deposits and other treasury transactions.
• Track Individual Gap Limits (IGL) and Aggregate Gap Limits (AGL) and report deviations, if any.
• Ensure timely and accurate submission of GPB returns and other regulatory reports.
• Prepare market risk MIS, dashboards, and reports for management and risk governance committees.
• Support risk analysis, regulatory compliance, and market risk framework enhancement initiatives.
Qualifications
Experience: 0 to 2 Years
Qualifications: Graduate (Any Specialisation)/PGDM (Banking & Finance)/MBA