ALM and Market Risk

KMBL - Corporate - Support Services-Risk| Team Member ALM and Market Risk| Location: Mumbai

This is an exciting and challenging opportunity to be an integral part of a team with high visibility and
responsibility in the organization.

The role provides excellent experience in various areas of ALM and Market Risk with significant scope for further development. If you are proactive, self-driven and a creative individual with strong quantitative skills, this might be the job for you.

Job Role:
Risk Management Department is responsible for the development and maintenance of risk management and control frameworks. It provides independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, Risk Management Department is responsible for the monitoring and reporting on risk issues of the Bank.

Identification of ALM risk factors and its assessment on timely basis.
Provide ALCO and Top Management with relevant insights on ALM profile and implementation of ALCO directives
¢ Develop and set operating limits, measure and monitor the risk level in accordance with the policies and limits in relation to Interest Rate risk in the Banking Book and Liquidity Risk
¢ Undertake ALM modelling and historical analysis, develop supporting assumptions and run the ALM modelling in accordance with Policy.
¢ Back testing and validation of ALM indicators, assumptions.
¢ Develop and ongoing maintenance of ALM policies, frameworks, monitoring tools and reviews of limits and breaches.
¢ Prepare reports and analysis specified by ALM (funding concentration, NII simulation, Liability profile analysis, EVE and EaR simulations, basis risk and optionality).
¢ Prepare and execute liquidity risk & Interest rate risk stress testing scenarios.
¢ Develop contingency funding plan, cash flow projection and modelling in accordance to latest best practices.
¢ Monitor interest rate & liquidity risk at standalone legal entity level and consolidated group level.
¢ Lead and drive enhancement projects required for ALM risk system.
¢ Ensure timely delivery of ALM projects / change initiatives with quality, within approved timelines

• The manager must constantly re-engineering Treasury Middle-Office/market risk processes
• Functional leadership in IT Automation projects for Treasury Middle-Office/ market risk
• Liaison with Regulators, Internal, Statutory and Concurrent Auditors
• Market Risk Capital Charge Computation
• Regulatory Reporting for Market Risk including RBS, RBI Stress Testing etc

Job Requirements:
¢ CA, MBA finance or any other related quantitative discipline with about 7 years relevant post qualification ALM experience.
¢ Understanding and experience in the area of ALM Risk ,Treasury Middle Office, Market Risk, including handling of Liquidity Risk and Interest Rate Risk, specifically LCR, NSFR, IRRBB.
¢ Prior experience in managing and implementing ALM System would be an advantage.
¢ Respect for deadlines, ability to work with different departments (Treasury, Regulatory compliance, Risk, Finance).
¢ Strong inter-personal, communication, presentation, analytical and problem solving skills.
¢ Team spirit and collaboration,
¢ System knowledge & Office skills: SQL, Excel, Word, Power point
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