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About the Role
Position Title: Market and Liquidity Risk Analyst
Corporate Title: Analyst
Reporting to: Senior analyst / VP / Director
Location: Bengaluru
Job Profile
Position details
The role will be a hybrid role in market and liquidity risk management. Market risk management tasks will involve performing PnL and risk data generation and reporting, analysing and monitoring market risk activities undertaken by Global Markets (Trading) and Treasury (ALM). Liquidity risk management will mainly be enhancing Liquidity risk management practices and control functions for Asia branches.
This is a branch second line role, reporting into the regional market and liquidity risk management team overseeing and supporting Asia individual branches (ex. Japan and China) to uplift branch market and liquidity risk management. The person will be responsible for reporting, escalating and resolving risk related issues for local branch risk managers’ attention and support the local branch risk managers in carrying out their review and challenge function as a second line of defense in the bank.
The scope of products includes interest rate and FX related products such as interest rate swaps, FX swaps, CCS, Options, Bonds, on-balance sheet loans, deposits and inter bank borrowing/lending.
Roles and Responsibilities
Market Risk
Prepare daily, monthly and periodic risk reports and perform PnL, VaR and risk exposures analysis for the bank’s trading and treasury portfolio
Monitor individual dealer’s position and PL and market risk greeks such as delta, PV01, gamma, vega, theta
Perform market risk stress testing and daily VaR back-testing and analysis
Prepare and monitor various daily trade reconciliation and monitoring reports
Capturing daily market data and ensuring integrity and accuracy of market data before uploading into front systems for day-end revaluation process
Monitor benchmark submissions (e.g. SOR, SORA for Singapore)
Prepare daily market conduct check reports for the traders/dealers e.g. off-price check;
Monitor, investigate and report market risk limits and credit limits, along with Volcker rule metrics reporting and analysis for Volcker rule compliance
Support Financial and Head Office reporting requirements
Liquidity Risk
Prepare daily, monthly and other periodic risk reports for reporting to management.
Prepare data and presentation materials for Asset Liability Management Committee meetings for Singapore and APAC including coordination with stakeholders for committee meetings.
Regular monitoring including but not limited to liquidity risk indicators, balance sheet, Net Interest Income and stress testing.
Maintain and improve the systems/infrastructures/EUCs (including update of policies and procedures) for funding liquidity Risk Management
Second line for Market and Liquidity Risk Management will include but not limited to;
Under supervision and guidance from regional and branch risk management teams, support the preparation of materials for ALM/MRM Committee materials, Financial,Head Office and Regulatory reporting
Work in collaboration with regional or local branch risk managers in handling requirements from…