
Leading Market Risk Management Specialist
6 days ago
We are seeking a seasoned Market Risk Management Professional to join our team. As a key member of our Enterprise Risk Management practice, you will be responsible for managing specialized risk management functions within the bank.
Main Responsibilities:- Market Risk Functionality:
- Establish policies and guidelines for enhanced monitoring of Treasury/Investment/ALM/Liquidity risk.
- Value Treasury portfolios – Forex, Fixed Income, Derivatives, Equity and others.
- Provide independent mid-office monitoring support on NOP, Fixed income, FIG, Derivatives, limit monitoring etc.
- Monitor hedge effectiveness on a periodic basis.
- Implement and calculate Capital charge and Counterparty Risk Charge.
- Conduct technical analysis of Equities, Bonds and Money market funds.
- Maintain all types of limit monitoring with respect to treasury activities as prescribed in Internal and regulatory policies.
- Perform MTM reconciliation with counterparty banks for derivatives deals undertaken and make/respond margin calls in term of CSA arrangement with them.
- Prepare Regulatory and internal daily and periodical reports and Board notes on accurate and timely submission.
- Enhance methodologies for counterpart credit risk measures like PFE, CVA etc.
- Periodically review banks' new products related to Market risk and provide risk mitigation controls.
- Liquidity Risk and ALM Responsibilities:
- Monitor and simulate LCR/NSFR.
- Robustly monitor and report on Maturity of ALM products.
- Set limits for MAL/SAL using statistical modeling techniques.
- Generate Interest rate risk on bank's book basis IRRBB or via Sensitivity Report analysis like NII and EVE.
- Show good understanding of Behavioral studies of ALM products.
- Implement experience of ALM/Market Risk system from end to end.
- Pricing/Hedging of banking products across asset classes (Rates, FX, Bonds).
- Be well-versed with Stress testing of Liquidity and Interest rate risk.
- Have knowledge of ICAAP, RAROC, FTP methodologies, RAS.
- Handle Audit queries and provide active assistance in audit.
Requirements:
- 6-8 years of relevant work experience in Middle East banks.
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