Market Risk Analyst

Role Objective:

1. To monitor counterparty Limits, Currency Limit, Stop Loss Limit, Liquidity Limits preparations and submission of various reports to RBI/ Head office/ local office pertaining to Liquidity and Interest Rate Risk.
2. Preparation and submission of Structural Liquidity Statement, Interest Risk Sensitivity Statement, Basel III regulatory reports to RBI.

Detailed Roles and Responsibilities:

A) Main Duties

• Monitoring Dealer and Currency wise Limit
• Monitoring of Counter Party Limits
• Monitoring of Overdraft in Nostro and Vostro Accounts
• Monitoring of NOP (Net Open Position), AGL (Aggregate Gap Limits)
• Monitoring of Stop Loss Limits
• Generating VAR
• Monitoring MTM of FX, Investment, Derivatives
• Monitoring PV 01, Modified Duration Limits
• Preparation of NSFR (Net stable funding ratio)
• Preparation of LCR (Liquidity Coverage Ratio)
• Preparation of SLS (Structured Liquidity Statement), IRS (Interest Rate Sensitivity) returns
• Responding to DAKSH queries, Audit/ Inspection queries, Head Office requirements
• Monitoring additional limits, if any, defined in Bank’s Policy & Procedures/ defined by regulator
• Creating/ Amending counter party in Treasury System
• Monitoring VAR Back Testing results

B) Main Duties (Monthly)

• Preparation and submission of Basel III Liquidity Report
• Generating, Preparation and submission of Liquidity Return to RBI
• Generating, Preparation and submission of Interest rate Sensitivity Return to RBI
• Preparing Asset Liability Committee, Investment Committee agenda & minutes
• Month end price generation and verification for investments, Forex, Derivatives
• Monitoring Dealer Call records
• Maintaining proper record of counterparty limits in Treasury System in co-ordination with Head Office
• Coordinating with Vendors/ IT team for Treasury system upgrades/ issues
• Submission of regulatory returns/ Head office returns/ local office returns of Market Risk department

C)Main Duties (Quarterly)

• Market Risk and counterparty Capital charge computation
• Preparation of Counterparty wise Risk Statement
• Submission of Risk Appetite figure pertaining to Mid-Office Dept.

D) Main Duties (Half Yearly)

• Preparing Half yearly Investment Review
• Conducting Stress test as per defined frequency

E) Main Duties (Yearly)

• To Compile RBS Data related to Market/ Liquidity Risk to be submitted to RBI
• Conducting behavioral analysis for SLS, LCR, NSFR, IRS
• Reviewing policies and procedures pertaining to Market Risk

Essential Skills/Qualifications/Experience required:

a) Professionally qualified (CA, MBA, CFA, FRM, Certificate in Risk in Financial services)

b) At least 5 years of experience in the Market/ Liquidity Risk management

c) Proficiency in MS-Excel/ VBA

d) Fluent communication skills

e) Good understanding of Treasury Systems like Bloomberg, Refinitiv, Finacle Treasury etc