Enterprise Risk Management - Asset & Liability Management - Banking

Enterprise Risk Management - Asset and Liability Management

Industry : Banking

Work Experience : 5+ years

City : Mumbai - BKC

Job Description:

Department Team Member - ALM

Function : Risk Management Department is responsible for the development and maintenance of risk management and control frameworks. It provides independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, the Risk Management Department is responsible for the monitoring and reporting on risk issues of the Bank.

Responsibilities :

- Identification of ALM risk factors and its assessment on timely basis.

- Provide ALCO and Top Management with relevant insights on ALM profile and implementation of ALCO directives

- Undertake ALM modelling and historical analysis, develop supporting assumptions and run the ALM modelling in accordance with Policy.

- Measure and monitor the risk level in accordance with the policies and limits in relation to Interest Rate risk in the Banking Book and Liquidity Risk

- Ongoing maintenance of ALM policies, frameworks, monitoring tools and reviews of limits and breaches.

- Prepare reports and analysis specified by ALM (funding concentration, NII simulation, Liability profile analysis, EVE and EaR simulations, basis risk and optionality).

- Execute liquidity risk and Interest rate risk stress testing scenarios.

- Monitor interest rate and liquidity risk at standalone legal entity level and consolidated group level.

- Play an integral hands-on role in the configuration, testing, and ongoing maintenance of an Asset Liability Management risk platform.

- Ensure timely delivery of ALM projects / change initiatives with quality, within approved time lines.

- Prepare materials for the Asset Liability Management Committee meetings and others as needed.

- Perform duties & responsibilities specific to department functions & activities or as assigned by supervisor.

Competencies :

- Understanding and experience in the area of ALM Risk, including Liquidity Risk and Interest Rate Risk, specifically SLS, LCR, NSFR, IRS & IRRBB.

- Prior experience in managing and implementing ALM System would be an advantage.

= Organization, respect of deadlines, ability to work with different departments (Treasury, Regulatory compliance, Risk, Finance).

- Strong inter-personal, communication, presentation, analytical and problem solving skills.

- Team spirit and collaboration

System knowledge: Python, SQL, Excel, word, power point.

Requirements:

Education and Experience:

- CA, MBA finance or any other related quantitative discipline with about 5 years relevant post qualification ALM experience.

- Knowledge of the finance and lending industry, including, but not limited to : financial and risk modelling practices and concepts, financial instruments, and financial markets will be an advantage.

Message to potential applicants :

This is an exciting and challenging opportunity to be an integral part of a team with high visibility and responsibility in the organization. In this job you will be responsible for accurately reporting, modelling and analyzing the liquidity and interest rate risk position, while working with a range of individuals across the bank. If you are proactive, self-driven and a creative individual with strong quantitative skills, this could be the job for you. The position gives you an excellent insight into the organization and this grounding of business acumen and customer insight is sure to stand you in good stead.