Market Risk Analyst - Bank

Market Risk Analyst

- Professional experience in Asset Liability Management in Banks who are well-versed with Basel III requirements with good understanding of conceptual aspects of financial instruments and banking products and interplay of financial markets.

- Candidate shall also possess comprehensive understanding to Treasury products (including derivatives), valuation methodology, Sensitivities and VaR etc.

Responsible for Assets and Liabilities Management functions :

- Would be responsible for system implementation, review, enhancement and reinforcement for ALM activity

- Computation, generation and monitoring against Internal limits and Regulatory limits with respect to following and reporting daily/periodically:

- Liquidity Risk Management as per Basel III requirements - Framework and System implementation

- Funds Transfer Pricing

- Structural Liquidity Report

- Interest Rate Sensitivity report (IRST & IRSD), Modified Duration of Equity

- Liquidity Ratios and Other liquidity and interest rate risk analysis

- Intraday Liquidity Management

- Conduct Analysis on Assets and Liabilities for ALCO Pack

- Carrying out Behavioral Analysis for all the relevant products

- Analysis of Liquidity gaps, Product Mix, Maturity profile of Assets and Liabilities, Interest rate outlook, Comparison with peer groups and others

- Analyzing Bank's inflows and outflows of funds and suggesting proactive measures for effective management of liquidity and interest rate risk

- Conduct Stress Testing

- Responsible for preparation of Board notes on Liquidity Management and its timely submission

- Overall responsible for Internal and Regulatory reporting ; daily and periodical

- Responsible compliance with audit requirements

- Also responsible for producing cash flow and various other ad-hoc regulatory reporting

- Liaise with members of Finance, Treasury and other Business Units to establish reporting requirements

Educational / Professional Qualification :

- MBA (Fin.)/CA/CFA, preferably with Mathematics or Statistics as one of the major subject at graduation / post-graduation level;

- Risk Management qualification like FRM / PRM and Experience in treasury front office trading desk will have added advantage

Technical Knowledge :

- Good understanding of Banking Products and Processes

- Knowledge of the Assets and Liabilities Management Guidelines and Practices.

- Strong analytical and problem solving skills.

- Ability to think out of box

- Proficient with MS Excel and Excel Macro

- Understanding the ever changing market dynamics and its impact on various products and subsequent/proactive strategy of portfolio management.

- Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

- Well organized and ability to perform under stringent time line pressures without compromising on the end result quality