Vice President, Asset Liability Management

 

About The Role : 

Job Title:Asset Liability Management Specialist

Corporate Title:

Vice President

Location:Mumbai

Role Description

The candidate will be part of the Asset & Liability Management (ALM) function within Treasury responsible for managing the interest rate risk in the banking book (IRRBB). The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio. The results are used for risk management decisions and regular internal and external reporting. The team recommends and executes hedging and optimization strategies. The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex, and important risk management topics.s

What we'll offer you

As part of our flexible scheme, here are just some of the benefits that youll enjoy

Best in class leave policy

Gender neutral parental leaves

100% reimbursement under childcare assistance benefit (gender neutral)

Sponsorship for Industry relevant certifications and education

Employee Assistance Program for you and your family members

Comprehensive Hospitalization Insurance for you and your dependents

Accident and Term life Insurance

Complementary Health screening for 35 yrs. and above

Your key responsibilities

Identify, measure, and monitor structural risk in the Banking book (IRRBB, CSRBB). This impacts both capital and earnings of the bank.

Some of the key tasks and responsibilities of this VP role will be the following:

Risk Representation:To identify, measure and monitor structural linear and non-linear risk exposures in the banking book portfolios.

Assess underlying modelling assumptions and understand implications for risk management.

Develop a thorough understanding of the underlying products (assets and liabilities) driving the banking book risk, including behavioral components.

Ensuring accuracy and completeness of risk capture as per the governance framework.

Stay updated on the latest regulatory developments regarding RIBB and update hedging strategies accordingly.

Liaise with various teams to review the regulatory landscape concerning IRRBB and CSRBB metrics.

Risk Modelling:Ongoing review, assessment and enhancement of IRRBB metrics like NII and EVE sensitivity.

Engage with methodology teams who develop top risk models for NII and EVE sensitivity for different interest rate scenarios.

Ensure documentation and implementation of risks not well captured in the IRRBB metrics.

Prepare remediation plans to capture risk sensitivity in the IRRBB metrics potentially leading to model enhancements.

Risk Hedging:Provide comprehensive risk insights to formulate hedging strategies and support execution.

Your skills and experience

At least 7 years of relevant experience with Treasury, ALM, or Risk Management of Banking Book.

Solid foundation of regulatory environment w.r.t IRRBB, other regulatory capital requirements, and accounting framework.

Experience working with senior members across various departments including Treasury, Risk, Product Control, Research, Finance, and Valuations.

Strong exposure and practical experience in pricing, valuation or risk management of fixed income products.

Good knowledge in data analysis and processing (either of SQL, SAS, R, Python) and statistical analysis.

University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics) from a premier institute.

How we'll support you

Training and development to help you excel in your career

Coaching and support from experts in your team

A culture of continuous learning to aid progression

A range of flexible benefits that you can tailor to suit your needs

About us and our teams

Please visit our company website for further information:



https://www.db.com/company/company.htm

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