Vice President, Asset Liability Management

1 week ago


Mumbai, India 9608 Deutsche India Private Limited, Mumbai Branch Full time
Description

The candidate will be part of the Asset & Liability Management (ALM) function within Treasury responsible for managing the interest rate risk in the banking book (IRRBB). The team develops, parameterizes, and implements quantitative models to measure the risk across a large and diverse portfolio. The results are used for risk management decisions and regular internal and external reporting. The team recommends and executes hedging and optimization strategies. The team acts as an intermediary in treasury itself and between the business units and other central functions like Market Risk Management. This gives you a unique view into many exciting, complex, and important risk management topics.What we’ll offer youAs part of our flexible scheme, here are just some of the benefits that you’ll enjoyBest in class leave policyGender neutral parental leaves100% reimbursement under childcare assistance benefit (gender neutral)Sponsorship for Industry relevant certifications and educationEmployee Assistance Program for you and your family membersComprehensive Hospitalization Insurance for you and your dependentsAccident and Term life InsuranceComplementary Health screening for 35 yrs. and aboveYour key responsibilitiesManage Interest rate risk in the Banking Book (IRRBB), arising from impact of interest rate fluctuations on the bank’s assets, liabilities and off-balance sheet instruments. This impacts both capital and earnings of the bank.Some of the key tasks and responsibilities of this VP role will be the following:To identify, measure and manage structural linear and non-linear risk exposures in the banking book portfolios including risk completeness and behavioural components within mortgages and deposits:Assess underlying modelling assumptions and understand implications for risk management.Engage with product experts understanding underlying product characteristics and business strategies enabling appropriate risk management.Develop and establish risk management proposals within governance framework across 1st and 2nd Line functions.Ongoing review, assessment and optimisation of risk management and execution strategies within given mandate and constraints.Engagement with execution team to manage risk (IR risk, FX risk, Basis risk) on daily basis.Steer books within given mandates, limits, risk appetite framework, and other constraints and metrics like regulatory and accounting framework.Assess book risk parameters and market sensitivities enabling smooth steering and optimise execution.To drive projects forward to enhance the methodologies and processes used in the IRRBB metrics.The incumbent will work closely with other colleagues in and outside the team to drive enhancements to the risk management and execution across the regions and businesses.Your skills and experienceAt least 7 years of relevant experience with Treasury, ALM, Fixed Income desks or Risk Management.Strong exposure and practical experience in trading, pricing, valuation and/or risk management of fixed income products.Hedge execution experience within Treasury or Rates desk is a plus.Ability to interpret/challenge the data and engage with business specialists to make sound risk management strategy decisions.Experience working with senior members across various departments including Treasury, Risk, Product Control, Research, Finance, and Valuations.Solid foundation of regulatory environment w.r.t IRRBB, other regulatory capital requirements and accounting framework is a plus.University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics) from a premier institute.Good knowledge in data analysis and processing (either of QRM, SQL, SAS, R). Python is a plus.How we’ll support youTraining and development to help you excel in your careerCoaching and support from experts in your teamA culture of continuous learning to aid progressionA range of flexible benefits that you can tailor to suit your needs
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