
Dynamic Financial Risk Manager
2 days ago
The role involves overseeing specialized risk management functions, focusing on market and liquidity risks. Key responsibilities include:
- Establishing policies for enhanced monitoring of treasury/investment/liquidity risk.
- Valuing treasury portfolios, including Forex, fixed income, derivatives, equity, and other assets.
- Providing independent mid-office monitoring support for various products, such as Nop, fixed income, FIG, derivatives, limit monitoring, etc.
- Monitoring hedge effectiveness on a periodic basis.
- Implementing and calculating capital charge and counterparty risk charge.
- Analyzing equities, bonds, and money market funds.
- Performing limit monitoring related to treasury activities, as prescribed in internal and regulatory policies.
- Reconciling MTM with counterparty banks for derivatives deals and making/responding margin calls under CSA arrangements.
- Preparing daily and periodical reports, including board notes, for accurate and timely submission.
- Monitoring and simulating LCR/NSFR.
- Robustly monitoring and reporting on maturity of ALM products.
- Setting limits for MAL/SAL using statistical modeling techniques.
- Generating interest rate risk on the bank's book basis (IRRBB) or via sensitivity report analysis like NII and EVE.
- Understanding behavioral studies of ALM products.
- Experienced implementation of ALM/Market Risk system from end-to-end.
- Pricing/hedging banking products across asset classes (rates, FX, bonds).
- Well-versed in stress testing of liquidity and interest rate risk.
- Familiarity with ICAAP, RAROC, FTP methodologies, RAS is preferable.
- Handling audit queries and providing active assistance in audits.
Requires 6-8 years of relevant work experience in Middle East banks.
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