Job Purpose / Summary:

To function as an independent risk control and monitoring unit within the Treasury setup, ensuring that the Front Office operates within approved risk parameters and regulatory guidelines. The Mid Office provides oversight on market risk, limit monitoring, P&L attribution, valuation control, and regulatory compliance for all treasury activities.

The Team member TMO (Markey Risk) is responsible for computing various risk metrics, preparing reports and analysing the risk factors for managing the Interest Rate Risk, Forex & Derivatives risk & Equity price risk of the bank. The individual is also responsible for Risk Reporting, Regulatory reporting, Risk governance and Risk analytics.

Duties and Responsibilities:

· Risk Monitoring & Control:

o Monitoring of Risk limits & generation of Risk Reports across portfolios (Bonds/Equity/Forex/Derivatives etc.)

o Forex Day-light position, Overnight position, NOOP, AGL-IGL etc.

o Intra-day MTM & Stop Loss Tracking

o Monitoring, Preparation and analyzing PVO1, Modified Duration, VaR & Back testing

o Rate Scan for Forex, Bonds and Derivatives portfolio

o Calculation of Country & counterparty exposure

· Reporting & Analysis:

o Support Risk Management Committee with analysis and reporting inputs.

o Conduct independent valuation validation of treasury products

o Product-wise VaR & Back testing

o Risk based supervision (RBS) data point submission and variance analysis.

o Dealer-wise limit monitoring

o Stress testing for Trading book

o Trading Book Risk Dashboard

o Forex Dashboard

· Policy & Compliance:

o Review of Market Risk management Policy and Risk Limits periodically.

o Participate in development and implementation of new products and ensure appropriate risk controls are in place.

· Systems and Process Management, Process Improvement & Automation:

o Process improvement of mitigate operational risk & time reduction.

o Regular review of Risk policies & process documentation.

o Ensure all treasury systems are functioning effectively and are aligned with control requirements.

o Coordinate with IT and system vendors for enhancement or testing of new treasury modules.

o Active role in new product, process and system implementation projects for the Bank.

· Audit & Compliance:

o Ensure comprehensive compliance with all Regulatory, Internal, Statutory and Concurrent audit requirements as relevant for various products.

Experience / Skillset / Certifications Required:

· Post-Graduation/CA/CFA & Risk certification preferred.

· Relevant Experience under Risk Management preferred.

· Strong understanding of financial markets, fixed income, derivatives, and forex products.