Vice President - Asset Liability Management Specialist

Deutsche Bank·Posted 3 months ago

Location

All India

Experience

7–11 years

Required Skills

Asset Liability ManagementALMInterest Rate Risk ManagementRisk ManagementMarket Risk ManagementData AnalysisSQLSASRPythonValuationQuantitative ModelingHedging StrategiesRegulatory Environment KnowledgeFixed Income ProductsRisk Modelling

About the Role

Role Overview:
As an Asset Liability Management Specialist at Vice President level, you will be an integral part of the Asset & Liability Management (ALM) function within Treasury at Deutsche Bank in Mumbai, India. Your main responsibility will be managing the interest rate risk in the banking book (IRRBB) by developing, parameterizing, and implementing quantitative models. You will work on a large and diverse portfolio, providing risk management decisions and recommendations for hedging and optimization strategies. This role will give you exposure to various risk management topics and interactions with different teams within the bank.

Key Responsibilities:

• Identify, measure, and monitor structural risk in the Banking book (IRRBB, CSRBB).

• Assess and understand linear and non-linear risk exposures in the banking book portfolios.

• Develop a thorough understanding of the underlying products driving the banking book risk.

• Ensure accuracy and completeness of risk capture as per the governance framework.

• Stay updated on regulatory developments regarding RIBB and update hedging strategies accordingly.

• Review the regulatory landscape concerning IRRBB and CSRBB metrics.

• Review, assess, and enhance IRRBB metrics like NII and EVE sensitivity.

• Engage with methodology teams to develop top risk models for different interest rate scenarios.

• Provide risk insights to formulate hedging strategies and support execution.

Qualifications Required:

• At least 7 years of relevant experience in Treasury, ALM, or Risk Management of Banking Book.

• Solid foundation in regulatory environment related to IRRBB, other regulatory capital requirements, and accounting framework.

• Experience collaborating with senior members across departments like Treasury, Risk, Product Control, Research, Finance, and Valuations.

• Strong exposure and practical experience in pricing, valuation, or risk management of fixed income products.

• Proficiency in data analysis and processing using SQL, SAS, R, Python, and statistical analysis.

• University degree with a quantitative focus (Finance, Mathematics, Computer Science, Statistics) from a premier institute.

• Knowledge of APAC local markets is a plus.

Additional Company Details:
Deutsche Bank fosters a culture of continuous learning, development, and collaboration. They aim to empower their employees to excel together every day by acting responsibly, thinking commercially, and taking initiative. The company promotes a positive, fair, and inclusive work environment where successes are shared and celebrated. Visit their website for more information: [Deutsche Bank](https://www.db.com/company/company.html) Role Overview:
As an Asset Liability Management Specialist at Vice President level, you will be an integral part of the Asset & Liability Management (ALM) function within Treasury at Deutsche Bank in Mumbai, India. Your main responsibility will be managing the interest rate risk in the banking book (IRRBB) by developing, parameterizing, and implementing quantitative models. You will work on a large and diverse portfolio, providing risk management decisions and recommendations for hedging and optimization strategies. This role will give you exposure to various risk management topics and interactions with different teams within the bank.