Job-description, role, activities and deliverables:

- Responsible and accountable for conducting internal audits of Market Risk, Asset Liability Management (ALM), Treasury, Internal Capital Adequacy Assessment Plan (RBAP), IFSC Business Unit (IBU), and other internal audits conducted by Financial Markets audit vertical in Internal Audit Department (IAD).

- Conduct the internal audits in a time-bound manner as per the approved Risk Based Audit Plan (RBAP), Internal Audit Policy and Internal Audit Process and documentation of audit work-papers/records.

- Conduct the audits as per the scope of the audits which covers aspects of governance framework, policies, processes, business, products, risks, operations, information security, business continuity etc.

- Track status of audit issues reported and their closure.

- Interpret the regulatory guidelines with respect to Market Risk, ALM, Treasury, Basel III Capital Regulations, Stress testing, Valuation methodologies, Hedging, risk measurement techniques (VaR, PV01, Convexity, NOOP, AGL, EaR) and its applicability and implementation by the Bank.

- Audit verification Risk Based Supervision (RBS) submissions related to Market Risk, ALM and Treasury Risk.

- Provide inputs for the preparation of the RBAP at the beginning of the financial year.

- Apply experience, knowledge and understanding to continuously improve the effectiveness of internal controls and efficiency in the audit processes.

Oversight of concurrent audit of Treasury, Depository Participants, Trade Finance and other areas under the domain of Treasury audit vertical in IAD which includes:

- Ensure submission of concurrent audit reports on time by the Concurrent Auditors

- Ensure regular update of concurrent audit scope and checklists

- Ensure review of the concurrent audit reports and issues in terms of coverage of audit scope and quality of reports

Essential competencies:

- In-depth knowledge and experience of Market Risk Management, Asset Liabilities Management (ALM), Basel III Capital Regulations and related RBI, FEDAI and FIMMDA regulations.

- Sound knowledge and understanding of Treasury business, products, processes, and regulations.

- Flair to work with multiple auditee units simultaneously with a clear focus on closure of audit issues

Qualifications and relevant experience:

- 15 years of relevant experience in Treasury audit, or Market Risk Management, or Treasury Mid Office in medium to large commercial banks in India

- CA / MBA, FRM (GARP) or PRMIA certification preferred