Manager – Middle Office (Market Risk)

2 days left

Location
New Delhi, Delhi (IN)
Salary
17 to 25 Lacs Indian Rupees
Posted
Dec 24, 2018
Closes
Feb 22, 2019
Job Function
Banking, Other
Employment Type
Full Time
Education
Masters

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

Market Research

  • 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

MIS

  • Preparing regulatory reports (RBI)
  • Management Reports and Presentations/ Departmental reports
  • Business Unit -wise borrowing cost estimation

Compliance

  • 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