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Job Description:
Monitoring and reporting of credit / market risk and movement analysis.
Preparation ofcredit exposure /monitoring market& Investment risk limits and highlighting limit excess cases.
Basic knowledge of risk monitoring tools like Present value of one basis point, Value at Risk, Duration and Stop loss Trigger Level Limits.
Monitoring prudential/ RBI limits and reporting the same to RBI/ Front Office/ Senior management.
Follow up with Front Office/Business for getting the necessary approvals for limit excess.
Conduct business continuity plan testing from DR site.
Valuation of Treasury Products.
To undertake MTM valuation of the Treasury Products such as; - Investments (SLR and Non SLR), Syndicated loans - Foreign Exchange - Derivatives.
Basic knowledge of market practices about valuation of various treasury products including government securities, bonds & debentures, discounted instruments, securitization products, equity and instruments with special features.
Regulatory reporting.
Preparation of past performance / self-declaration / notional limits of the clients Preparation of regulatory returns/ data as per the regulatory requirement such as NOPL, AGIG etc.
In case of MM & investments , Basel Capital Adequacy requirements, PDR II, Short sell and When issued, Call borrowing/ lending etc Maintenance of Static data / Market data / limits in treasury system.
Maintenance of market data required for valuation of treasury portfolio in Treasury and core systems from platforms like Bloomberg and Reuters.
Reconciliation of MTM with other counter parties.
Providing of Market Data to other departments.
Maintenance of static limits and counterparty data in the system System Implementation& Testing.
Performing UAT for Treasury system implementation.
About Company:
