Job Description
Company DescriptionFAB, the UAE's largest bank and one of the world's most secure financial institutions, is dedicated to creating value for its employees, customers, shareholders, and communities. Through innovation, agility, and differentiation, FAB is committed to fostering growth. We are looking for top talent and your success is our success. Accelerate your growth as you help us reach our goals and advance your career. Be ready to make your mark a top company, in an exciting and dynamic industryJob DescriptionJOB PURPOSE: This position will assume responsibility in the Market Risk and Asset Liability Risk Management of India Branches. The responsibility covers the risk monitoring, risk reporting, regulatory reporting, risk governance, and risk analytics. He/she will work in partnership with Global Market to manage balance sheet’s liquidity and capital in accordance with regulatory requirement and bank’s internal limits and that the market risk taking activities are managed in line with dealer’s mandate within risk limits. The ALM risk scope includes liquidity risk reporting, LCR, NSFR, liquidity stress test, IRRBB and liquidity risk modelling. The market risk scope will cover the FX, Interest Rates, and Fixed-income asset classes; both cash and derivatives.KEY ACCOUNTABILITIES: Market and Liquidity RiskPrepare daily and monthly risk reporting with substantiation and analysis. The market risk scope includes VaR, DV01, CS01, FX NOP, MAT, and Investment Notional. The ALM risk scope includes the liquidity gap reporting, IRRBB, and liquidity risk ratios stipulated by the RBI including the LCR, NSFR, and Capital Adequacy Ratio.Monitor market risk exposure and the risk limit. Anticipate the risk and substantiate the day-to-day movement in risk and P&L against the market development. Investigate and escalate the breach, and engage Global Markets dealers to rectify the excess.Work in partnership with business stakeholders to develop the market and liquidity risk appetite including the formulation of funding strategy and balance sheet forecast.Liquidity Risk regulatory reporting including LCR and NSFRPerform the daily risk forecast simulation of market risk and liquidity risk. Discuss risk findings and provide recommendations to Global Market desks.Conduct liquidity and market risk stress test.Take ownership of all other matters pertaining to India Market and Liquidty Risk. Liaise with Regional Functional Head and Head Office Functional Head.Review and update the relevant policies and standard operating procedures.Streamline risk reporting to support business growth and infrastructure integrationParticipate in the Global Market and Risk projects including the Benchmark Rate Transition and OTC Derivatives Margin ExchangeAssist with any other adhoc projects and tasks as requiredAdditional ResponsibilitiesPermanent Member of India ALCO and involved with submission of ALCO data pack, review, presentation and approval, as required.Oversee the Credit Risk Returns / Reports preparation and filingCompiling the Risk slides for ALCO and BRCC pack (and the backup computations)Provide support for FTP ValidationBack-up for Middle Office related functionsQualificationsMinimum Master Degree [Post Graduate in Management / Finance, Chartered Accountant] with about 5-10 years of experience in ALM, Market Risk and Risk management.Already involved with the preparation, submission and monitoring of ALM and Liquidity Risk Reports.Good understanding of liquidity risk and regulatory framework (Basel III, LCR, NSFR)Strong knowledge of Treasury products: FX, Money Market, Fixed-income and DerivativesExcellent knowledge of liquidity risk and regulatory frameworkExperience in the Risk Regulatory reporting is desirableStrong knowledge about risk methodologies: VaR, Stress Test, Liquidity Risk ,Market Risk , Financial modellingExperience in process improvement, UAT and system implementation (Familiarity with Intellect, Murex)Well versed with RBI regulations and policiesAdditional Experience would be a plus:Good understanding of Market Risk, MVE and EARExposure to ICAAP preparation / validation would be an added advantageCFA or FRM Charter holder is a plusSkills: Strong analytical skillExcellent excel spreadsheet skill (VBA programming will be advantage)Strong communication and interpersonal skillsAbility to multi-task, proactive and deliver within deadlineAbility to work independently and is self-motivated. Strong team player.Willing to learn and contribute. Result oriented. Customer service oriented.Positive attitude towards changes and process improvement.
