Manager – Middle Office (Market Risk)
Mid Office (including Front Office support) activities – Control, monitoring and preparation of Market Risk Management ratios and reports and Asset Liability Management rations and reports, ; Management MIS; Regulatory Reports, etc.
- Market Risk Management (MRM) Statements
- Calculations and Monitoring of NOOPL, AGL, IGL, PV01 limits
- Preparation of review of bond investments.
- Estimation of monthly / quarterly funding requirement of the firm and tabling them to the Asset Liability Committee (ALCO)
- Asset Liability Management (ALM) Statements
- Projecting & tracking asset-liability mismatches (Interest Rate Sensitivity mismatches / Liquidity mismatches)
- Preparation & filing of RBI ALM statements (as per RBI guidelines)
- Preparation of ALM statements as required for Group consolidation (as per RBI guidelines, etc.)
- Sensitivity analysis for Net Interest Income projections
- Stress Test Compliance
- Liquidity Risk Compliance
- Ensuring daily and periodic dissemination of key market data and reports (external) to Front Office and Management. (tracking fx, fixed income markets, macro-economic data prints, major Indian and International events affecting financial markets)
- Proactively setting up of new market data analysis, trends and its impact
- Preparing regulatory reports (RBI)
- Management Reports and Presentations/ Departmental reports
- Business Unit -wise borrowing cost estimation
- Tracking/ Updating of board limits such as NOOPL/PV01,Var,AGL etc. (as per internal and external guidelines)
- Tracking regulatory changes/ notifications which may affect Treasury functions.
- Internal policy reviews / Internal Audits / RBI Audits