Senior Analyst - Enterprise Risk Management

Job Purpose

• Interest Rate and Liquidity Risk, Model Validation

Accountabilities:

• Development of Bank’s Interest Rate Risk framework, with complete responsibility of periodic analysis on impact of interest rate movement on Bank’s short term and long term profitability and economic value.
• Development of Bank’s Liquidity Risk framework, with complete responsibility of periodic analysis on Bank’s liquidity position under various stress and BAU scenarios.
• Assist team lead in validation of risk models including IFRS9, application & behavior scorecards, market risk VaR models etc.
• Assist team in managing cross border risk, through analysis of countries using Bloomberg and Moody’s subscriptions. Analysis of relevant geo-political situation in major exposure countries to keep a close monitoring on Bank’s cross border risk.
• IRRBB: Assessment of Bank’s Interest rate risk with thorough analysis on monthly movements and submission of this analysis for management consumption. Calculation and submission of all relevant reporting including central bank reporting on IRRBB. Periodic stress test of IRRBB to assess possible future scenarios and highlight potential portfolio risk to management.
• Liquidity Risk: Assessment of Bank’s Liquidity risk with thorough analysis on daily/monthly movements and submission of this analysis for management consumption. Calculation and submission of all relevant reporting including central bank reporting on liquidity risk. Periodic stress test of Liquidity risk to assess possible future scenarios and highlight potential portfolio risk to management. Assessment of early warning indicators and Liquidity scorecard to ensure sufficient liquidity in the bank and highlight any serious concerns to management well advance in time.
• Model Risk: Assist team in managing model risk through validation of statistical models developed by multiple teams in Risk management, including credit risk and market risk. Assist team in validating data, methodology, results and application of models being developed.
• Other Major Activities: Active participation in annual ICAAP and Stress test exercises to assess above mentioned risks and other areas of ICAAP and stress test. Assist team in management of cross border risk through monitoring of geo-political situation in high exposure countries.

Competencies:

• Deep understanding of Asset Liability management including Interest Rate and Liquidity Risk.
• Understanding of impact of market behavior on interest rate in banking and trading book.
• Understanding of ICAAP and Stress test processes of a Bank with focus on end to end portfolio testing, including credit, market, interest rate and liquidity risk.
• Understanding of general macro prudential ratios and economic trends.
• Clear conceptual understanding of Quantitative Modelling.
• Ability to communicate its analysis to functional users in business friendly language.
• Understanding of advance quantitative analytics for analysis of portfolios.
• Fair understanding of Basel & IFRS9

• ALM: Knowledge of asset liability management with focus in IRRBB and Liquidity
• Quantitative Modelling: Knowledge of Quantitative modelling and its validation
• Statistical Software: Knowledge of statistical software of SAS and/or R or Python is an added advantage
• Excel: Advance understanding of Excel with ability to program macros.
• Bachelor degree with 5+ years’ experience in Risk domain of a reputed Bank, in ALM & quantitative modelling.