Head - Market Risk - Bank

Asset Liability Management primarily liquidity risk and interest rate risk in banking book

KRA

- Assessment of risk measures like NOOP, AGL, IGL, PV01, Modified duration, Convexity, VaR, Backtesting, Stress Testing, monitoring of stop loss limits, counterparty credit risk & adherence against market risk & ALM Limits approved by Board

- Close watch on Financial market and carrying out impact analysis on Bank portfolio

- Spearheading Basel framework implementation for Market, Liquidity & Interest rate risk in banking book

- Conducting stress tests for market risk, liquidity and interest rate risk in banking book and reviewing stress testing framework periodically to incorporate changes in underlying risks, market dynamics among others

- Leading ALCO meetings, providing ALCO Support and implementing directives from governing committees (Asset Liability Management Committee/ Investment Committee/ Risk Management Committee of the Board)

- Driving formulation of various policies pertaining to Asset-Liability Management, Market Risk Management, Counterparty Credit Risk, Forex Trading Policy, Country Risk Management, Interest Rate on Advances and ICAAP document of the Bank