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.
• Documentation
• Responsible 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 deliverables
  
  

• VAR:
• 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: