Manager - Risk Policies & Analytics Unit

Job description / Role

Job Purpose:
- To identify various credit risks and develop and / or enhance models for measuring and quantifying various credit risks.
- To maintain and / or enhance credit grading model and perform periodic validation of credit rating model.
- To periodically review / enhance obligor grading and facility grading methodology.
- To periodically analyse the obligor grading output inorder to ensure compliance with Basel’s IRB requirements.
- To perform calibration of probability of default and to develop LGD database.
- To periodically analyse credit portfolio and to monitor and report the internal credit risk limits.
- To perform economic capital computations for various risks and to enhance the economic capital computation models.
- To periodically compute the Credit VaR / Unexpected loss of the credit portfolio.
- To perform periodic liquidity stress testing and stress testing of the portfolio and also to periodically validate the various internal and external parameters used in stress testing model.
- To maintain and / or enhance sector risk assessment model and to perform periodic computation of sector risk score for the credit portfolio
- To review risk management policies periodically.
- To participate in various risk management projects not limited to credit risk.
- To monitor various risk limits relating to liquidity, interest rate, market risk etc., and prepare/check the various daily/monthly/quarterly risk reports
- To prepare the monthly risk report and the half yearly portfolio report
- Establish appropriate measurement tools for market, interest rate and liquidity risks and tolerance levels in line with regulatory and prudential norms
- To assist other units in risk management as and when required.

Key Accountabilities:
- Ensure compliance with limits as per Credit Risk Management Policy and report any deviations.
- Maintain database required for measurement of various credit risk metrics.
- Perform regular rating migration analysis.
- Develop methodologies for measuring / calibrating Probability of Default and Loss Given Default (LGD)
- Maintain the bank’s credit grading model and ensure it complies with Basel’s Internal Rating Based (IRB) approach.
- Bank wide stress testing on regular basis covering all risks and impact on capital and profitability.
- Ensure timely reporting of economic capital & Stress testing results to Central Bank.
- Conduct and report portfolio analysis to identify portfolio level trends.
- Validate the various model and model parameters used in credit risk and stress tests.
- Involve in implementation of third party models.

Requirements

- Degree in quanitative finance / finance / economics / maths / science / business administration.
- Qualifications / Certifications like Chartered Financial Analyst (CFA), Financial Risk Manager (FRM) , Professional Risk Manager (PRM), Financial Engineering, highly desirable.
- Minimum 7-10 years experience in banking industry out of which minimum 5 years experience in risk management with more emphasis on credit risk and economic capital.

Skills:
- Excellent MS-Excel skills required preferably with elementary programming knowledge in VBA.
- Knowledge of Basel regulations.
- Excellent quantitative skills.
- Excellent communication skills both in verbal and written English.

Competencies:
- Problem Solving – Makes complex analysis
- Recognizing Patterns – Clarifies complex issues
- Focus on Business Goals – Sets challenging goals
- Change Orientation – Adopts a new approach
- Effective Communication – Achieves ‘Buy In’
- Information Gathering – Establishes information system
- Self Confidence – Expresses own expertise
- Trustworthiness – Adheres to principles
- Understanding Others – Is empathetic
- Developing Others – Provides ongoing support
- Directiveness – Reviews performance
- Team Leadership – Promotes team effectiveness
- Building Relationships – Builds rapport
- Teamwork – Encourages others

About the Company

Confluence International HR (CIH), Dubai, has been promoted by experienced professionals with extensive and varying industry experience in India

Our India operations has been operating under the name of Confluence Consulting India PvtLtd has been in the executive search business for more then a decade. It is a Mumbai based firm with an operating branch in Delhi. In addition we manage another entity called Jobs for Youth which focusses on graduate hiring / early career job opportunities with bulk hiring or hire-train-deploy model.

Combining the experience and comprehensive capabilities of the core team members, CIH looks to partnering with clients in UAE / GCC to help them become high-performance businesses by employing top quality talent from the domestic and International markets.

Our team of consultants has relevant industry experience and domain knowledge with in-depth understanding of your needs, and the ability to comprehensively assess candidate capabilities

At CIH we believe that our search for the right person for the right fit never stops, we balance human emotions and professional expectations. 2