Senior Manager/Assistant Vice President - Internal Audit - Market Risk

Senior Manager / AVP - Internal Audit - Market Risk

Job Description :

Looking for an experienced Internal Auditor for Market Risk audits. This is an individual contributor role based in Mumbai and will focus on auditing the Banks market risk framework, measurement methodologies, regulatory compliance, and governance processes, ensuring alignment with RBI guidelines.

Key Responsibilities :

- Conduct internal audits covering market risk measurement, monitoring, and reporting frameworks.

- Review and validate risk metrics including Structural Liquidity Statement (SLS), Interest Rate Sensitivity, Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), Intra-Day Liquidity (IDL), Net Overnight Open Position (NOOP), Value at Risk (VaR), PV01, Duration, etc.

- Assess robustness, accuracy, and integrity of risk models, assumptions, back-testing processes, and reporting frameworks.

- Audit compliance with RBI regulations pertaining to Basel III market risk guidelines, ALM, and liquidity risk frameworks, including ICAAP (Internal Capital Adequacy Assessment Process).

- Review policies such as Market Risk Management Policy, ALM Policy, and ICAAP framework, along with related governance structures.

- Review governance across committees such as ALCO, Risk Management Committee, etc., and validate MIS reports submitted to senior management and regulators.

- Assess adequacy of risk limits, monitoring mechanisms, and escalation processes.

- Participate in RBS (Risk-Based Supervision) related audit reviews, where applicable.

- Perform risk-based audit testing covering model validation checks, limit breaches, exception handling, and stress testing scenarios.

- Demonstrate sound knowledge of regulatory guidelines on Market Risk, ALM, and Capital Adequacy.

- Review audit checklists and ensure comprehensive coverage.

- Conduct reviews of market risk areas and suggest improvements in risk measurement techniques, governance frameworks, and reporting practices.

- Oversee concurrent audits and ensure quality control.

- Ensure timely completion of audits.