Supports market risk management for treasury portfolios by monitoring exposures, limits, foreign exchange risk, VaR, stress testing, valuation, and portfolio performance. Prepares risk trackers, dashboards, management reports, regulatory submissions, and gap analysis. Verifies compliance with internal policies and regulatory requirements, escalates limit breaches, and contributes to risk framework improvements.
To support market risk management through analysis of market exposures, risk indicators and portfolio performance. The role evaluates market risks and provides recommendations that support effective risk governance and decision-making.
- Prepare daily Treasury Risk Tracker and monitor key market risk exposures across treasury portfolios.
- Perform daily valuation of investment portfolios and ensure accurate reporting of portfolio positions.
- Conduct daily market risk stress testing and analyze the impact of adverse market scenarios on the Bank's portfolio.
- Monitor adherence to approved market risk limits and escalate breaches as per established governance procedures.
- Compile and validate data for Interest Rate Sensitivity Statements, Duration Gap reports, and other regulatory submissions.
- Perform IC5 verification and monitor daylight limits in accordance with internal policies and regulatory requirements.
- Monitor Net Open Position (NOOP) limits and foreign exchange exposures.
- Conduct Forex Value at Risk (VaR) monitoring and report significant risk movements.
- Monitor limits relating to placement of Foreign Currency Deposits and other treasury transactions.
- Track Individual Gap Limits (IGL) and Aggregate Gap Limits (AGL) and report deviations, if any.
- Ensure timely and accurate submission of GPB returns and other regulatory reports.
- Prepare market risk MIS, dashboards, and reports for management and risk governance committees.
- Support risk analysis, regulatory compliance, and market risk framework enhancement initiatives.
Experience: 0 to 2 Years
Qualifications: Graduate (Any Specialisation)/PGDM (Banking & Finance)/MBA
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