Oversee and manage market risk and ensure regulatory compliance, including monitoring market trends, assessing financial risk exposure, and implementing risk management strategies.
Manage treasury middle office functions, such as cash management, liquidity management, and overseeing treasury operations.
Key Responsibilities:
Responsible for overseeing and managing the market risk of the organization's investments and ensuring compliance with regulatory requirements. This role involves monitoring market trends, assessing the organization's exposure to financial risks, and implementing risk management strategies to mitigate potential losses.
Responsible for managing the treasury middle office functions.
Undertake Independent Valuation of Financial Instruments – FX, Commodity, Derivative, Fixed Income Bonds and Equity deals undertaken by Treasury Front Office.
Monitor and Measure Trading and Investment Policy limits / risks pertaining to Treasury front office and timely escalation of the Breaches/Alert Triggers to Senior Management
Responsible for Collateral Management and monitoring the Daily margin calls arising from derivative and FX deals undertaken with interbank counterparties.
Responsible for daily P&L attribution analysis across various asset classes - FX Spot/Forwards, FX Swaps, Futures, Options, Interest Rate Swaps, Carry Trade/Arbitrage trades, Total Return swap/Leveraged trades etc.
Expertise in Market Risk Stress Testing
Monitor the VaR - Value at Risk for Trading and Banking Book
Expertise in Internal CVA Modelling to accurately incorporate counterparty credit exposure.
Expertise in Regulatory SA-CCR and CVA Capital Charge computations and Pillar 3 disclosures.
Assess Model risk, perform Model robustness analysis and identify and evaluate Model limitations.
Assist in the documentation of the Model framework document for Market Risk Models like VaR, Stress Testing, PFE-CVA models, etc.
Carry out Independent Model validation assessments in line with the Model Management Standards of CB.
Supporting SVP in Counterparty Risk Management including setting up of CCR Policy, CCR Risk Appetite, CCR Dashboards.
Facilitate the setting up of the Market Risk Appetite as a part of the Group Risk Appetite framework
Enhancing the MIS Automations regularly and the support in Treasury system Upgrade delivery project.
Coordinate with other functions (i.e. Treasury, Finance, Audit, IT vendors etc.) and external consultants to develop systems and infrastructure to enable quick and reliable decision making.
Preparation of the Market Risk Dashboard and reporting alerts to the Management as per the Investment Policy.
Timely escalation of macroeconomic early warning indicators are identified and analyse and their impact on pricing and liquidity decisions are communicated and understood by senior management.
Support in development and review of the Management packs covering Market Risk and Counterparty Credit Risk like Investment Committee, ALCO, Board Risk Committee, etc.
Conduct of the Investment Committee meetings on a timely basis and preparation of all the necessary documents and recording of the minutes on a timely basis.
Liaise with the Central Bank/Internal Auditors during the annual audit reviews and resolve queries to ensure compliance with regulations.
Review of all Market Risk and Counterparty Risk related Policies & Procedures, Stress Testing Framework, Hedging Framework , Dealer Delegations etc. on a an annual basis and in line with the business requirements and Bank’s strategy.
