Moody's Analytics | 6 to 12 years | Pune

Job Description

• Implementation of the Interest Rate Risk in the Banking Book (IRRBB) under the regulations of the Monetary Authority of Singapore (MAS) and the Hong Kong Monetary Authority (HKMA) 
• Implementation of MAS Market Risk Returns 
• Implementation of internal interest rate risk metrics including interest rate gap, PV01 and non-regulatory Net Interest Income (NII) scenarios 
• Implementation of Fund Transfer Pricing (FTP) 
• Implementation of reports adjustments and approval workflow 
• Implementation of General Ledger pre-reconciliation and post-reconciliation 
• Moodys implementation expertise for the RCO software with hands on experience in the area of implementation, configuration, and upgrade of liquidity software solutions.
   
• Assist clients in all the stages of RCO product implementation for the ALM FTP module including the below
• Gap analysis and data mapping
• Business requirement gathering and confirmation
• Specification Documentation and walkthrough with client 
• Product configuration.
• Functional specification of custom functionality
• Testing (UAT variance analysis and investigations)
• Conduct Functional training

Primary Skill

• Implementation of the Interest Rate Risk in the Banking Book (IRRBB) under the regulations of the Monetary Authority of Singapore (MAS) and the Hong Kong Monetary Authority (HKMA) 
• Implementation of MAS Market Risk Returns 
• Implementation of internal interest rate risk metrics including interest rate gap, PV01 and non-regulatory Net Interest Income (NII) scenarios