Risk Management Role - Treasury - Bank

Risk Management -Treasury

Monitoring:

- Monitoring of Risk limits & generation of Risk Reports related to Treasury

- Rate Scan

- Forex Day-light position, NOOP, AGL-IGL

- Monitoring of rates input in the system

- Intra-day MTM & Stop Loss Tracking

- Calculation of counterparty exposure

- Monitoring, Preparation and analysis of PVO1, Modified Duration, VaR, Backtesting

Reporting:

- Daily Treasury Limit Monitoring and reporting

- VaR and RBS Reporting

- Treasury Snapshot Report

- Dealer-wise P&L calculation

- Trading Book Risk Dashboard

- Forex Dashboard

Analysis:

- VaR - Backtesting

- VaR Analysis

- Studies/Analysis of various risk factors, quantitative modelling and research to strengthen the risk management process

- Sensitivity Analysis and quarterly reporting to RBS

- Computation and analysis of Market RWA of the Bank

Automation:

- Automation of existing manual reports and procedures using VBA

- Process improvement of system reports and development of new reports

Preference for candidates possessing FRM / CFA as additional qualification

The candidate is also expected to perform all tasks / analysis as decided by the Head from time to time