Capgemini
Moody's Analytics | 6 to 12 years | Pune
Job Description
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
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