Risk Officer
Dubai Islamic Bank
Total years of experience :9 years, 11 Months
1. Stress Testing Quarterly (submitted to State Bank Pakistan, as per State Bank Pakistan guidelines)
2. Quarterly prepare Basel III Net Stable Fund Ratio and Liquidity Coverage Ratio and SBP Liquidity Ratios.
3. Developed Treasury Middle office Dashboard for the daily Basis.
4. Developed Value at Risk (VaR) model on Analytic Approach for Foreign Exchange Daily basis.
5. Assist in quarterly Minimum Capital Requirement (MCR) & Capital Adequacy Ratio (CAR).
6. Monitoring of Treasury activities : FEEL, Counter Party Limit Exposure, Deal Register - Outright (All), Forward GAP Limit Report, Nostro Limit Report, Off Market - FX Inter Bank, Position Detail, Settlement Limit Report, Due From Financial Institutions, Monitoring of Statutory Liquidity Requirement (SLR) and Cash Reserve Requirement (CRR), Monitoring of Stop Loss, Dealer Limit verification,
7. Monitoring of Liquidity : Advance to Deposit (ADR), Liquid Assets to Total Deposits, Liquid Assets to Demand Deposits, Liquid Assets to Total Assets, Large Volume Deposits to Total Deposits, Amount of Large Volume deposit
• Developed model for stress testing for fixed income securities through Value at Risk (VaR) model and prepare and analyze report monthly basis.
• Prepare and analyze duration, convexity & PVBP analyses for fixed income portfolio.
• Revaluation of TFC & Sukkuk and calculate duration and convexity.
• Prepare and analyze impact of change in interest on Net Interest Margin (NIM).
• Monitoring of T.BILL and PIBs purchased during the every Quarter.
• Prepare and analyze on Daily average (Month-wise) Interbank Borrowing and Lending.
• Prepare and analyze Interest rate gap analysis based on maturity and re-pricing.
• Monitoring of limits for Interest rate gap ratio suggested by State Bank of Pakistan (SBP).
• Prepare weekly Asset liabilities Gaps as per regulatory requirement.
• Develop model for stress testing for fixed income securities through VaR model.
• Prepare duration, convexity & PVBP analyses for Foreign Exchange (FX) portfolio
• Analyses of Foreign Exposure utilization limit & calculate FX VaR for exposure.
• Rate Reasonability of FX trades daily basis.
• Appraise Off-Market Tolerance Risk to monitor appropriateness of FX ready/forward rates.
• Monitor FEEL against the limit assign by SBP.
• Prepare and analyze the Liquidity Ratios on monthly basis.
• Calculating and Presenting Treasury Middle office Dashboard (Liquidity Ratios, DV01, Net Worth, CAR and ADR).
• Monitor Statutory Liquidity Requirement (SLR) and Cash Reserve Requirement (CRR) prescribed by the State Bank of Pakistan.
• Calculate annualized return of Margin Trading Equity Portfolio.
• Calculate Equity Value at Risk (VaR) and analyze report monthly basis.
• Prepare papers, minutes and reports for Risk Management Committee, Market and Liquidity Risk Management Committee.
• Prepare General Banking performance analyses: i-e CASA, Deposits, Advances & others.
• Assist in quarterly Minimum Capital Requirement (MCR).
• Prepare and analyze the comparison of Commercial banks of Pakistan.
• Prepared Term of Reference (TOR) for Market Risk Meeting Committee (MRMC).