Market Risk Reporting Role - Bank

Market Risk-Reporting in a Bank for a bank based in Chennai

1. Estimation of all risk components and capital calculations (regulatory) as per the guidelines issued by RBI for Basel II Standardized approach

2. Finalizing data elements and structure

- customers, accounts, mitigants, dimensions, rates and other data required for processing for risk weight estimation and computaion Basel II standardized approach capital requirment with the following processes:

- Reclassification of asset class, customer and mitigant

- Rating Assignment

- Risk weight assignment

- Pre-mitigation process

- Counterpart credit risk

- Credit Risk Mitigation

- Post mitigation process

3. Estimation of Credit Risk for both securitized and non-securitized exposures

4. Basel II standardized approach for market risk and operational risk

5. Capital computation and capital adequacy

6. RCA2 regulatory report as per the template defined by RBI

Asset Liability Management:

- Provide the following regulatory reports as per the RBI guideline

- Statutory Liquidity Report (SLR)

- Interest Rate Sensitivity Report (IRS)

- Dynamic Liquidity Report (DLR)

- Net Interest Income / Earnings at Risk (EaR)

- Market Value & Duration Analysis

- Economic Value of Equity

- Traditional Gap and Duration Gap Reports

The above job roles are to be done through the OFFSA system support

Important: Candidates from banks with relevant experience apply