AVP - VaR Reporting

Key Responsibilities

VaR Reporting:

- Core responsibility is to prepare daily reports covering Value at Risk and exposure across various cuts of the trading and lending portfolios, and the various business lines

- Calculate regulatory capital and key legal entities

- Information is also provided to regulators, rating agencies and other relevant third parties on a periodic basis

ERC

- Calculation and reporting of Position Risk ERC (99%), including analysis of portfolio changes and ERC composition over the reporting period

Sensitivities Reporting

- Production and distribution of market risk reports including investigation and analysis of exceptions, data integrity and methodology issues

- Reporting and performing validation checks on VaR movements. This will involve evaluation and analysis of market risk exposures by employing statistical and other approaches.

- Ensure that the risk reports are accurate and complete along with the implementation of improved controls.

- To participate in the roll out of enhancements in risk systems, processes and data feeds.

VaR, ERC, Exposure & Sensitivity Limit Monitoring:

- Key constraints for the business

- Daily monitoring of VaR, ERC, Exposures and Sensitivities against limits globally

Backtesting:

- Comparison of P&L against the VaR by business line, division

- Liaising with P&L team and business line risk managers to explain exceptions

Contact: suparna@ikyaglobal.com