Ranjan Banerjee

Experience

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  ICICI Bank

  May 2008 - Jun 2014

  Treasury Manager

  • Managing market risk exposure on US/UK/India Interest Rate Derivatives desk covering vanilla and exotic options, structured notes, swaps and treasuries.• Performing deep dives on risk and P&L on the portfolio and discussing with traders on the market activity, client trades, trade approvals and hedging strategy.• Preparing weekly/ad-hoc risk reports and deep dives for the trading desk and reporting to senior risk managers.• Managing and proposing risk limits for the desk in line with the risk appetite for the division.• Working with Quants team to discuss pricing, valuation and modelling changes.• Stress testing and scenario analysis of bank’s investment portfolio.• Involved in process of Murex migration and resolved issues during migration.• Portfolio monitoring of different treasury desks on a continuous basis and highlighted key risk issues, sudden movements and breaches.• Backtesting of the VaR results and methodology; results presented to the ALCO.• Processing of Exotic derivative structures in Murex system. Test case development for testing of quant based models. Show less

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  Bajaj Finserv

  Jun 2014 - Dec 2020

  • Undertake operational and financial audits to evaluate the effectiveness of the organization's internal controls, policies, and procedures.• Implement risk assessment audits and developed audit plans to identify high-risk areas and prioritize audit activities.• Prepared and presented audit reports to the senior management and the Audit Committee, highlighting audit findings, recommendations, and action plans.• Collaborated with the business units, risk management, compliance, and other stakeholders to implement audit recommendations and improve internal controls and risk management practices. Show less • Treasury Management related to Asset Liability Management, Fund Transfer Pricing, Liquidity Risk estimation.• Conduct daily risk analysis of trading books to identify potential market risks and report the same to the senior management.• Ownership of implementation of Treasury Risk Controls in a timely manner in the entire market data space.• Market Risk Assessment for Trading and HTM portfolios. Generation of VaR metrics and Analysis for stress testing, sensitivity analysis.• Using Risk Analytics and Visualization in establishing risk controls and senior management reporting. Impact analysis through statistical modeling and Operational Risk capital estimation.• Leading Cross Functional Teams for projects in Enterprise Risk and Operational Risk Management.• Hands-on experience of Product Control reporting and reconciliation processes, statistical/analytical activities. • Updating Senior Management through reporting in Investment Committee & Asset-Liability Committee Meetings.• Loss event identification and resolution within the Operational Risk Governance framework. Risk Reporting on Operational Risk events and process flow enhancements.• Ensuring that treasury activities are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Governance Policies and Policy Standards.• Project Lead for supervising RaRoC computations for firm wide business lines. Credit Risk Modelling for Retail and SME portfolios. Regulatory Reporting for SMA Accounts. Show less

  • Senior Lead {Internal Audit}

    Dec 2018 - Dec 2020

  • Senior Manager {Market Risk & Treasury}

    Jun 2014 - Dec 2018
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  Family Business

  Jan 2021 - Aug 2024

  Family Business Owner