AVP Icaap and Stress Testing

Locus Enterprises
  • Mumbai
  • 15-25 lakh
  • 2-7 years
  • 06 Feb 2015

  • Risk Management, Finance/ Accounts

  • Banking - Retail
Job Description

Prepare/Update ICAAP policy and manage the ICAAP of the Bank within the internal timelines.
Support in design, monitoring and communication of risk appetite /risk limits
Hands on experience in material risk and control assessment (qualitative/quantitative) for Pillar-I and Pillar-II risks such as IRRBB, Concentration, Liquidity Risk, Reputation Risk, Strategy Risk, Model Risk, Group Risks, Compliance Risk etc
Conduct Capital planning in coordination with risk and finance departments at a standalone and consolidated level.
Design and Implementation of Economic Capital Models and Risk Aggregation using statistical methods
Support in RAROC assessment and reporting
Implementation of Basel-III & Basel-II guidelines with regard to capital management.
Manage Quarterly reporting update to Top Management on ICAAP, annual review and changes in ICAAP policies.
Proactively indentifying the challenges and making recommendations on capital strategies of the Bank.
Conducting training /preparing advisories on Basel-II/Basel-III to units.
Ensure timely submission of ICAAP to RBI.
Support in internal /external/regulatory audit and validation of ICAAP and Risk Based Supervision.
Stress Testing
Prepare and maintain the Stress Testing Policy of the Bank in accordance with RBI guidelines and best practices in Risk Management.
Must be able to identify and develop stress scenarios (historical and hypothetical) including theoretical construct and business need
Liaise with various business & economic units to identify and evaluate mitigating actions, where required, for stress testing analysis
Must be able to link Stress scenarios with macro economic factors, with extreme and rare events
Develop and execute stress testing model test plans
Must have stress testing and scenario analysis experience across key risk types (market risk, credit risk and operational risk) within the context of capital planning
Design of Stressed Risk Appetite setting and monitoring.
Design of reverse and forward looking stress testing analysis
Preparation of scenario analysis presentations for senior management, the Board and Regulators
Documentation of stress testing methodology, assumptions and results
Performs other related job duties and special projects as assigned.

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Locus Enterprises