Manager-Market Risk - Job Description

I. POSITION DESCRIPTION

JOB TITLE: Manager-Market Risk

GRADE: CM

DEPARTMENT: Risk

LOCATION: Head Office

SUB-DEPARTMENT: Risk

TYPE OF POSITION: Full-time

REPORTS TO: Chief Risk Officer

REPORTING INTO: Specialist - Market Risk

II. ROLE PURPOSE & OBJECTIVE

- To prepare and submit RBI returns for Liquidity- LCR, SLS, NSFR, IRS etc.

- Ensure tracking and closely monitoring liquidity and balance sheet mismatch risk for the Bank.

- Undertaking Liquidity stress testing and scenario wise analysis.

- Monitoring of Regulatory Ratios.

- Work as a part of ALCO Support Group and extend the attend to RMCB related requirements.

- Handling RBI Audit, Internal Audit and compliance.

III. SIZE OF THE ROLE

FINANCIAL SIZE: NON-FINANCIAL SIZE

CAPEX / OPEX Budgets resting with the role: N/A

Total Buying / Procurement: N/A

Total Revenue: N/A

Portfolio Managed: Rs. 25,000 crores (Banks Balance Sheet)

Number of vendors / consultants: 2 to 3 external consultants

Number of portfolio products: NA

Volume of products and services: Rs. 25,000 crores (Banks Balance Sheet)

Quantity of equipment / stocks / projects / etc.: NA

Credit files received / underwritten: N/A

Volume of new hires onboarded: N/A

Volume of recruitment etc.: 1

IV. KEY DUTIES & RESPONSIBILITIES OF THE ROLE

1. Business/ Financials:

- Preparation of Daily Liquidity related returns to internal and regulatory stakeholders.

- Forecasting Liquidity and funding mismatch.

- Timely submission of all Liquidity related RBI Returns- BLR, SLS, LR.

- Monitor the regulatory reports using different stress levels and provide alternative solutions to refrain from regulatory breaches.

- Recommendations to ALCO members for better management of ALM and LCR related issues.

- Pro-actively identify key Risks and monitor the ability of the Bank to withstand negative shock.

2. Customer:

- Handle the Market Risk team and direct the team towards achieving their goals.

- Work in Co-ordination with Finance, IT, Treasury Front and Back office and other stake holders.

- Attend to Compliance and Audit related Queries and work towards reduction of the observations /gaps identified.

- Drive communication of all risk related policies, guidelines, latest developments across the bank to facilitate compliance to it.

3. Internal Process:

- Ensure timely and accurate delivery of Market Risk reports, interpret the information and suggest actions for consideration by Senior Management.

- Participate in scheduled meetings of ALCO / Risk Management Committee (for Market risk only).

- Proactively work on the monthly or quarterly regulatory reporting on risk related aspects.

- Ensure the committee recommendations are documented and implemented effectively.

- Provide inputs for collating Risk Based Supervision and liquidity related regulatory disclosures.

4. Innovation & Learning:

- Build a capable team who can design and monitor the risk framework.

- Maintain current knowledge of laws and regulations, keeping abreast with the most recent developments in regulations, notifications and circulars and disseminate the information regarding new regulatory developments.

- Develop, coordinate and impart a multifaceted educational and training program that focuses on the elements of risk and related compliance program, and seeks to ensure awareness creation.

- Maintain a knowledge base of strategy failures and implications, provide advice on preventive actions.

- Ensure goal-setting, midyear -review and annual appraisal process happens within specified timelines for self and team.

- Participate in industry level discussions to debate on the regulations or the best practices of market and liquidity risk management.

V. MINIMUM REQUIREMENTS OF KNOWLEDGE & SKILLS

Educational Qualifications: MBA in Finance or Risk management/ Chartered Accountant.

Experience: At least 5 years of experience in Risk Management from a Nationalized Bank/ Private Sector Bank/Large NBFCs.

Certifications: FRM/PRM certification.

Functional Skills: Understanding of the business, market risk, Liquidity risk, treasury operations, Treasury dealing, operational risk and other risks in the Bank.

- Knowledge of LCR, NSFR, SLS, IRS.

- Knowledge of undertaking various stress testing.

- Knowledge of RBI polices/guidelines relevant to SFBs with respect to Treasury.

- Good understanding of Risk Management principles & thorough understanding of the evolving practices for the management of market risk and regulatory requirements.

- Adapt at influencing policy changes for commercial advantage or basis regulation.

- Strong conceptual thinking ability to design complex mathematical models for explaining and predicting business metrics.

- Ability to apply mathematics to analyses complex data and develop conclusions and recommendations.

- Efficient and effective management of the data, reporting and analytical systems.

Behavioral Skills: Interpersonal communications, Stakeholder management.