Assistant Vice President - Market & Liquidity Risk Management

Location: Gujarat

Department: Market Risk Management

Reports To: Risk Manager

Team Size: 2 (No Direct Reports)

Role Purpose:

The AVP - Market & Liquidity Risk Management will manage the daily and periodic operations of the Market Risk team ensuring that all market and liquidity risks are effectively monitored and controlled. The role involves portfolio valuation, regulatory reporting, ALM coordination and supporting risk management processes across treasury and banking operations.

Key Responsibilities:

Core Responsibilities

- Valuation & Risk Analysis : Value all traded products, including derivatives and structured instruments. Track market and liquidity risks and monitor limits. Perform VaR calculations and assess interest-rate risks.

- Regulatory & Head Office Reporting: Prepare accurate reports for the RBI, Head Office, and branch management. Ensure all reporting is timely, accurate and compliant with internal policies.

- Treasury Monitoring : Oversee treasury activities, monitor exposures, and ensure limits are adhered to. Maintain proper documentation for all treasury operations.

- ALM Coordination: Organize ALM meetings, prepare agendas and presentations,

and track action items. Support liquidity planning and interest-rate risk assessment.

- Policy & System Support : Review and update risk policies and procedures. Assist with system implementation and enhancements for risk management.

Additional Responsibilities:

- Support governance and ALM committee meetings with analyses and documentation.

- Handle ad-hoc requests from management or the HOD.

Key Interactions:

- Collaborates closely with Treasury, Finance, Back Office, Head Office, and Regional Office teams.

- Engages with Branch Management and Governance Committees for risk-related discussions.

- Works independently, with no direct reports , but coordinates with multiple stakeholders.

Time Allocation (Indicative)

| Task | % Time |

| Regulatory & HO Reporting | 40% |

| Treasury Monitoring | 25% |

| Limit Monitoring | 10% |

| Head Office Reporting | 10% |

| Market & Liquidity Risk Analysis | 5% |

| Policy Review | 5% |

| ALM / Governance Support | 5% |

Skills & Qualifications:

- Experience : 5-7 years in Market Risk Management within a commercial bank.

- Technical Knowledge : Strong understanding of VaR, duration, PV01, IRRBB, and liquidity gaps. Familiarity with portfolio valuation for derivatives and structured products. Advanced Excel skills; VBA macros preferred.

- Regulatory Knowledge : Ability to prepare ALM and liquidity reports as per RBI guidelines.

- Certifications: FRM, PRM, or CISI certifications are a plus.

- Soft Skills: Strong analytical skills, attention to detail, excellent communication, and ability to coordinate across multiple teams and stakeholders.