Market Risk Manager
• Monitoring Treasury Portfolio exposure limit utilisations, sensitivity-based limits (PV01, Modified Duration), and Stop Loss limits in accordance with the Investment Policy• Delivering extensive Treasury MIS reports, exceptions, and Risk dashboards to senior management• Actively involved in presenting monthly, quarterly, and half-yearly review of the Treasury portfolio to the Investment Committee• Contributing to the development, review, and maintenance of Investment Policy and… Show more • Monitoring Treasury Portfolio exposure limit utilisations, sensitivity-based limits (PV01, Modified Duration), and Stop Loss limits in accordance with the Investment Policy• Delivering extensive Treasury MIS reports, exceptions, and Risk dashboards to senior management• Actively involved in presenting monthly, quarterly, and half-yearly review of the Treasury portfolio to the Investment Committee• Contributing to the development, review, and maintenance of Investment Policy and Counterparty Risk Management Policy• Valuation of Fixed Income securities and providing daily security-wise MTM to the CRO• Performing manual VaR computations and conducting Stress Testing• Assisting in Risk-Based Supervision (RBS) points and preparing half-yearly board notes• Collaborating with internal and external stakeholders to automate regulatory Treasury ReportsAchievements:• Implemented a project to automate VaR model and Backtesting process, reducing manual errors, improving accuracy, and decreasing VaR calculation time from 3 days to 1hr/day Show less
