Internal Risk Policy  1 Prepare and periodically review the investment policy, stress testing policy, ALM policy and liquidity risk framework and amendments as in when required.  2. Provide inputs to CRCO in assessing the risk of all new products, fixing of limits and amendments in the relevant policies  3. Prepare and recommend the department's budget by preparing analysis and data related to specific elements as directed  4. Analyse and provide reports to CRCO about daily trading P&L of the Bank, issuer wise, counterparty wise exposures, and the risk taken by the bank including drafting of reports and recording minutes of ALCO, Investment committee etc.  5. Responsible for daily computation of CRR and SLR maintenance  6. Propose and implement procedures and controls covering all activities of treasury middle office so that all relevant procedural/legislative requirements are fulfilled  Internal Operations Control/Monitoring  1. Monitor the valuation of investment portfolio, computation of MTM and profit & loss of Treasury desk.  2. Monitor the valuation of Domestic portfolio on a monthly basis to have correct risk measurement, monitoring and reporting in place  3. Perform liquidity risk measurement through cash flow reports and balance sheet ratios  4. Compute risk measures as per modified duration for entire portfolio; report the same to CRCO  5 Conduct intra-day rate scans and flag exceptions based on pre-defined variances to the appropriate authorities  6. Liaison with Front office for market analysis and determining reasons for breaches; share ratifications with CRCO  7. Create client/counterparty Master creation in Treasury system and limit setup; prepare limit utilization reports and submission to appropriate authorities  8 Monitor all the limits mentioned in the Investment Policy on a daily basis and report to CRCO; follow-up on action taken on limit breaches on a daily basis  9. Prepare and periodically review market risk related policies and methodologies for valuation of investment portfolio products  Ensuring various regulatory compliance for Cash Reserve Ratio (CRR), Statutory Liquidity Ratio (SLR)  1. Monitoring of SLR and CRR requirements  2. Ensuring that Investments are made to meet the SLR requirements. Maintaining a minimum investment to the extent of not less than 75 per cent of demand deposit balances DDB (including the earnest money deposits of BCs) as on three working days prior to that day in SLR securities  Risk Policy maintenance  1. Validate models on a half-yearly basis to review whether the input data and assumptions used for computation of capital charge are appropriate, modelling methodology is adopted and perform back testing of models to compare the results  2. Build scenarios and carry out stress testing on trading portfolio of the bank; and for liquidity & interest rate risk  3 Supervise the day-to-day operations of the department to ensure that work processes are implemented as designed and comply with established policies, processes and procedures.  4 Prepare regulatory reports and compliance with Pillar III disclosures; prepare LAF/Repo/Reverse Repo/CRR/SLR reports, statutory reports and other internal MIS reports  5 Co-ordinate with statutory auditors, concurrent auditors, RBI inspections officers, Internal inspection and submission of replies and compliance reports in coordination with Finance and Risk Management Department  6. Calculation of Risk Sensitivities, i.e., Modified duration, PV01  7 Regularly review appropriateness of the methodologies pertaining to computation of capital charge under SMM (Standardised Measurement Method) approach  8. Ensure Statutory/ Internal Audit conduct systems audit regularly  9. Co-ordination with auditors and RBI inspection team, including submission of replies and compliance reports in coordination with finance and Market risk department  Job Type - PERMANENT  Job Time - FULLTIME  The Apply Button will redirect you to website. Please apply there as well.

Mumbai

Aditya Birla Group - Treasury Mid Office Manager 

Aditya Birla Group - Treasury Mid Office Manager  ,Job Description for Aditya Birla Group - Treasury Mid Office Manager  in Aditya Birla Group in  Mumbai for (5-10) years of experience. Apply Now!

Job Description for Aditya Birla Group - Treasury Mid Office Manager  in Aditya Birla Group in  Mumbai for (5-10) years of experience. Apply Now!