Clm - Avp

**Job Title
- **Capital and Liquidity Management (“CLM”) Analyst**

**Location
- Mumbai**

**Role Description**

**Function Description**:
The Asset & Liability Management (ALM) team inside of Treasury is responsible for Structural risk management for the firm, including Interest Rate Risk in the Banking Book (IRRBB).

**What we’ll offer you**

As part of our flexible scheme, here are just some of the benefits that you’ll enjoy
- Best in class leave policy
- Gender neutral parental leaves
- 100% reimbursement under childcare assistance benefit (gender neutral)
- Sponsorship for Industry relevant certifications and education
- Employee Assistance Program for you and your family members
- Comprehensive Hospitalization Insurance for you and your dependents
- Accident and Term life Insurance
- Complementary Health screening for 35 yrs. and above

**Your key responsibilities**

As part of the ALM behavioral parameter calibration group, you will be responsible for:

- “Data integrity”: developing, owning and interpreting the historic time series data set from deposits and mortgages supporting our calibrations:

- Adapt the existing historical data to the new models [partnering with IT]
- Support our IT and model developer teams to migrate date into our strategic platform
- Ensure that the new data is harmonized with the historical one post migration and put in place an operating model across IT, model developers and the business units to ensure this process is maintained.
- Enhance the data with other data used by business units [Client Analytics]
- “Data intelligence”: Develop statistical analytics of the data to ensure proper parametrization of the models:

- Some of the statistics will be owned and maintained by our model developers but some will be more exploratory for example when seeing market changes. The team needs to define the triggers to conduct new analysis. The team will assess whether this leads to either new model developments [eg the model can not be parametrized to reflect the expected behavior] or simply a re-parametrization
- Sensitivity analysis to parameters: define sensible behavioral parameter stress scenarios to illustrate the uncertainty which needs to be considered for hedging/risk taking.
- With our model developers, develop back testing capabilities
- “Business intelligence” through engagement with the BU [product and client specialist] and parameter governance:

- Have a through product/client and business strategy understanding to ensure the parametrization and the risk output reflect the expected behaviors
- Engage with the BUs to add SME input to the statistical output to develop parameter proposals
- Take the parameter proposals through the governance to get them approved
- Support the structuring teams in understanding these risk before the implementation of hedging strategies

**Your skills and experience**
- University degree with a quantitative focus (Finance, Mathematics, Computer Science, Physics..).
- Strong statistical or quantitative background preferably with experience in financial modelling.
- At least 5 to 7 years of relevant experience in ALM, Risk Management, Modelling or Treasury is a benefit.
- Good knowledge in data analysis and processing (either of QRM, SQL, SAS, R). Python is a plus.
- Distinctive analytical and problem-solving abilities and a tech-savvy mind set.
- Ability to interpret/challenge the data and engage with business specialists to make sound risk management strategy recommendations.
- Ability to work in a team and at the same time keeping track of own responsibilities and to work independently.
- Strong ability to manage and prioritize numerous tasks simultaneously.
- Strong written, verbal communication and presentation skills.

**How we’ll support you**
- Training and development to help you excel in your career
- Coaching and support from experts in your team
- A culture of continuous learning to aid progression
- A range of flexible benefits that you can tailor to suit your needs

**About us and our teams**

Our values define the working environment we strive to create - diverse, supportive and welcoming of different views. We embrace a culture reflecting a variety of perspectives, insights and backgrounds to drive innovation. We build talented and diverse teams to drive business results and encourage our people to develop to their full potential. Talk to us about flexible work arrangements and other initiatives we offer.