Consultant

Risk Management Role

The Consultant should have mandatory experience in at least 2 projects of successful UAT/ Implementation/ Support, of SAP/ CBS/ any ERP application in CLM/ LMS with Risk Management SAS Module

Risk Management with SAS Desired Skills and Experience

• Consultant should have experience to create interface between 3rd party risk rating assessment tool and LMS (Loan Management System/CML) to integrate ratings into the LMS of the system.
• Consultant should have experience to enable assessment and/or reporting requirements under the ICAAP (Internal Capital Adequacy Assessment Process). The system should facilitate assessment of Capital adequacy on various parameters.
• Consultant should have experience to be able to calculate and generate the ECL provisioning as per the Regulatory guidelines along with relevant reports.
• Consultant should have experience to be capable of Calculation of CRAR and Risk Weighted Assets including impact assessment and generate the relevant reports.

Consultant should have experience to test system output as below:

• The system should be able to generate reports, comprising of the following data points, but not limited to: • Product-wise, Sector-wise Loan Portfolio • Account wise Internal Rating Grade, External Rating Grade, SMA/NPA Status, Geographical Distribution (State) • Prepayments in loan accounts • List of top 10 individual & group (exposure wise). Exposure includes outstanding and undisbursed.
• The system should be capable for stress testing under various scenarios.
• The system should capture/ integrate necessary historical data so as to enable projections and behaviour analysis through widely accepted methods/ computation techniques.
• The system should enable behavioural analysis/ pattern analysis within ALM (Asset Liability Management) to discover the pricing along with graphical presentations of inflows and outflows.
• System should have capability of generate various report related to market risk assessment and other related functionalities
• System should have capability and generation of following reports at the desired frequency, bucketing and format, but not limited to: 1. Liquidity risk reporting. 2. ALM reports needs to be maintained on monthly/ quarterly/ Half yearly/ Annually basis as per regulatory format. Further, the system should allow the user to change bucketing parameters and assumptions where feasible. 3. Short-Term Dynamic Liquidity Report 4. Structural Liquidity Statement and Interest Rate Sensitivity Statement 5. Structural Liquidity Statement as per the Residual Maturity of Inflows and Outflows for the Balance sheet position
• System should have capability to handle the following, but not limited to: • Important Prudential Parameters - Capital Adequacy • Capital charge computation for Market Risk. • Liquidity Assessment-To enable determination of available Liquidity, funding gap also assess impact on LCR, Stock Ratios, cost of funds, etc. under various funding scenarios. • Liquidity Coverage Ratio (LCR)-Monitoring of liquidity through stock ratios as prescribed by RBI • Stress Testing of LCR, Stock Ratios, Interest Rate Sensitivity • Cost of Debt: 1. Calculation of Cost of Debt on: a. Actual basis (based on trailing 12,6,3 months etc.) b. Weighted average (Wt Avg RoI) basis. 2. The above Borrowing Category wise and overall.
• System should have capability to handle and generate the reports for the following, but not limited to: For the Foreign Currency Loans (FCL) or borrowings with different tranches, cost for each FCL/ borrowing tranche. • Yield on Advances-Product wise and overall on weighted average and actual basis • Yield on Investments-Instrument wise, category wise, overall on weighted average and actual basis • Bond Analysis and Valuation: 1. Duration Measures- Macaulay, Modified, Effective, Key Rate Duration; Individual Bond and Portfolio level 2. Convexity (including Effective Convexity) 3. Value at Risk 4. Valuation of Plain Vanilla Bonds, Amortizing Bonds, Floating Rate bonds, Bonds with embedded options etc. • VaR for Investment portfolio (Trading and Banking Book) • Funds Flow Projections-At various frequencies beginning Daily to Annual • Marking to Market-All positions/ instrument, derivative types • Limits Monitoring-Monitoring of various types of Limits (Prudential/ Internal) for credit exposure, investments, trading, borrower/ counterparty limits, etc. • Monitoring of Hedging-Optimal Hedge Ratio, Hedge Effectiveness • Prepayment Analysis-Behavioural analysis and forecasting • Average Maturity of Assets and Liabilities
• System should have operational risk tools such as Risk Control Self-assessment (RCSA), Key Risk Indicators (KRI) and Loss Data Management which are to be automated 2) System should have facility for transactional authorization and workflow management for maker, checker, approver, authorizer (workflow) etc. controls
• System should have capability to calculate and generate following reports, but not limited to: 1) Calculation of Capital for Operational Risk-Basic Indicator Approach 2) Calculation of Capital for Operational Risk-Basel - III Standardized Approach 3) MIS Reports related to Operational Risk Tools viz. RCSA, KRI and Loss Data Management like trend analysis, summary sheet etc. 4) Various reports required by Regulatory Authorities.

Education

• Graduation or equivalent

Experience

• Min 3 Years of experience in successful UAT/ software development/ software testing, around Risk Management/ Compliance with SAS Tool

Minimum 3 (three) years of experience in implementation, support, user acceptance testing, testing, or data migration for a minimum 2 (two) project of SAP ECC/S4 HANA.

Language and Communication Skills

• Strong analytical, inter-personal, and communication skills