Team Member - Regulatory Reporting

Job Purpose

Job Purpose

Description

ICAAP

Computation:

Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.

Model Development:

Development of stress testing models in compliance with the regulatory guidelines.

DocumentationResponsible for the documentation of ICAAP.Risk Appetite Statement/Enterprise Risk:

Computation of various risk types on the basis on key risk metrics.

Aggregate the various risk types to compute an Enterprise Risk score.

Build Model and maintain documentation and track necessary deliverablesVAR:Model Development:

Design, develop and test VAR Models.

Model Validation:

Perform Back-testing and sensitivity analysis of VAR model.

Documentation:

Prepare and maintain documentation for the VAR model.

Sensitivity Analysis on various portfolio cuts:

Perform Sensitivity Analysis on various portfolio cuts.

Audit Closure:

Statutory/Internal Audit:

To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.RBI Audit: