AVP - Market Risk - Mumbai - Lodha (I-Think Techno Campus)

Main Accountabilities

1. Regulatory ALM Reporting & LCR

• Ensure timely submission of ALM regulatory returns with data accuracy, trend analysis and risk commentary.
• Analysis of ALM repricing gaps, duration risk, funding concentration, and NII sensitivity.
• Implement maker-checker controls (four-eye principle) across ALM submissions.
• Conduct the LCR analysis to provide guidance to Treasury on LCR to ensure consistent regulatory compliance.

2. Market Risk Monitoring & ALCO Governance and Policy

• Monitor key ALM thresholds including liquidity coverage ratio (LCR), stock ratios, and other balance sheet risk indicators.
• Support preparation and circulation of ASG, ALCO, and related governance dashboards with risk commentary.
• Ensure timely reporting and tracking of risk actionable arising from ALCO discussions.
• Support periodic review of Market Risk and ALM policies with risk data modelling.

3. ALM System Implementation & Projects

• Robustness of ALM MIS systems, automations.
• Work with IT, Treasury, and Finance teams to ensure successful system integration and data migration.
• Support ALM system enhancements, testing, and operationalisation.

4. Audit & Regulatory Coordination

• Drive interactions with internal audit, statutory audit, compliance testing teams, and regulators.
• Ensure timely closure of audit observations and submission of required documentation.
• Maintain audit-ready records for ALM processes and risk monitoring.