Analyst- Market & Liquidity Risk

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Position Title: Market and Liquidity Risk Analyst

Corporate Title: Analyst

Reporting to: Senior Analyst / VP / Director

Location: Bengaluru

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.

• 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

• 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

• 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 internal/external audits and regulatory reviews and providing advisory for market and liqudity risk management activities to internal stakeholders including Global Markets, Treasury, Back-office
• Work in close partnership with regional risk management team to support ongoing Head Office or regional projects related to market and liquidity risk, including ongoing efforts in process simplification and streamlining and implementation of industry best practices
• Prepare Asia branch specific local reporting for market and liquidity risk
• Performing other responsibilities or other adhoc projects as assigned from time to time

• Bachelor’s degree in Finance, Accounting, Economics, Mathematics, Statistics or related field preferred
• Preferred MBA/CA
• At least 1 year experience in Banking/Treasury/Risk management is required
• Excellent oral and written communication in English
• Strong knowledge of Python and Excel VBA is required
• Good knowledge of Tableau or Alteryx will be advantageous
• Prior experience in process streamlining, automation and ability to conceptualise automated control solutions is preferred
• Good knowledge of banking and derivatives products is desirable
• Experience in ALM and funding risk management desirable
• Ability to work effectively in a team environment with a strong control mindset
• Takes initiatives to collaborate and challenge status quo, and adaptable to embrace new changes
• Strong communication skills (both verbal & writing), interpersonal and business analytical skills attributes
• Self-motivated with a strong sense of ownership and able to work independently to source for information, systematically evaluate options and recommend solutions
• Flexible team player and able to work and deliver under pressure