Saurabh Aggarwal

• Managing Market & Liquidity Risk, along with performing Middle Office operations for the Bank.
• Implementing New Product initiated by Treasury by providing Middle office support and analyzing the Market & Liquidity Risk.
• Ensured regulatory compliance at all times by implementing robust internal controls systems coupled with proactive monitoring mechanisms.

Handling overall Market & Liquidity risk management functions of Indian operations of the bank.

Preparing Policies on Asset Liability Management (ALM), Liquidity Risk Management, and Market Risk Management.

Analyzing Structural Liquidity Statement (Liquidity Return), Behavioral Analysis, Liquidity Coverage Ratio (LCR), Interest Rate Sensitivity (IRS) Statements - Traditional Gap Analysis (TGA), Duration Gap Analysis (DGA), Earning at Risk, MVE, etc.

Performing risk analytics, such as Value at Risk (VaR), sensitivities, and stress testing.

Leading development of Bank's Stress Testing framework, Contingency Funding Plan, and Internal Capital Adequacy Assessment Process (ICAAP).

• Handling overall Risk Management functions of Indian Operations of the Bank
• Preparing Policies on Asset Liability Management (ALM), Liquidity Risk Management, Market Risk Management, Credit Risk Management, and implementation of approved policies
• Analysis of Structural Liquidity Statement (Liquidity Return), Dynamic Liquidity Statement (DLS), Behavioral Analysis, Liquidity Coverage Ratio (BLR), Critical Liquidity Stock Ratios, Return on Capital Adequacy (RCA), & Interest Rate Sensitivity (IRS) Statements - Traditional Gap Analysis (TGA), Duration Gap Analysis (DGA), Earning at Risk, MVE, MCLR, Liquidity Coverage ratio (LCR) etc
• As per defined policy
• Performing Risk Analytics such as Value at Risk (VaR), sensitivities and stress testing
• Facilitating appropriate pricing of loans by formulation and calculation of Marginal Cost of Funds Based Lending Rate (MCLR) and Risk Premium
• Managing Credit Risk framework in the Bank by actively monitoring Bank’s Exposure vis-à-vis Regulatory/ Internal limits, Credit monitoring, Stress Testing, Portfolio review etc
• Leading development of Bank’s Stress Testing framework, Contingency Funding Plan and Internal Capital Adequacy Assessment Process (ICAAP)
• Additional Role as a compliance officer supporting compliance functions of Bank like KYC, AML, Regulatory reporting, Policy updatation, Sanction screening, etc.

• Preparing Bank’s Policies on Asset Liability Management, Liquidity Risk Management, Market Risk Management and flawless implementation of approved policies
• Preparation and submission of regulatory reports related to ALM, LRM & MRM viz
• Structural Liquidity Statement (Liquidity Return), Dynamic Liquidity Statement (DLS), Behavioral Analysis, Liquidity Coverage Ratio (BLR), Critical Liquidity Stock Ratios, Return on Capital Adequacy (RCA), & Interest Rate Sensitivity (IRS) Statements - Traditional Gap Analysis (TGA), Duration Gap Analysis (DGA), Earning at Risk, ∆MVE etc
• Facilitating appropriate pricing of loans by formulation and calculation of Marginal Cost of Funds Based Lending Rate (MCLR) & Base Rate
• Conducting research, compile data, and prepare papers for consideration and perusal for decision making by executives, Asset Liability Management Committee (ALCO) and Risk Management Committee of the Board
• Ensuring seamless Internal Audit of Risk Management systems and processes; Statutory Audit of Capital Adequacy, ALM Maturity Pattern, Liquidity Coverage Ratio & Basel III Disclosures
• Performing Mid-Office operations, including but not limited to review and monitoring of Bank’s positions against approved policies, rate scan, etc
• Leading development of Bank’s Stress Testing framework, Contingency Funding Plan and Internal Capital Adequacy Assessment Process (ICAAP)
• Handling migration of Calculation of Market Risk Capital Charge to Advances Approaches (IMA) using various VaR models
• Fixing the Inter-Bank exposure limits for Money Market, Forex Exposure, Investment in Bonds/Shares, BPLC, LC/BG confirmation, etc
• Development and implementation of Risk Adjusted Return on Capital (RAROC) based pricing model.