Support and work closely with the Head Market & Traded Credit Risk to develop and implement market & traded credit risk management policies, processes and procedures.
Candidate must have:
- At least 7-12 years of experience in banking with exposure to Treasury.
- At least 5+ years in market risk related functions focusing mainly on IRRBB and liquidity risk management.
- Degree in Finance, banking studies or any relevant commercial discipline.
- Professional Qualification would be a distinct advantage e.g. CFA /FRM.
- Sound understanding of treasury products (cross different asset classes such as FX, Interest Rates, Credits) financial accounting and their pricing principles.
- Excellent computer skills (especially Excel, Visual Basics, SQL etc.). Working knowledge of deal booking systems, Bloomberg, Reuters a plus.
- Satisfactory understanding of latest Basel Accords and the treatment of Market Risk there under.
- Strong analytical skills and knowledge on Financial Risk Management
- Candidates must prove that they have knowledge of statistical and financial / economic concepts.
- Team player, self-starter, innovative and highly motivated.
- Proactive and hands on in solving quantitative issues as they arise.
- Understanding of regulatory and economic capital computations and related methodologies pertinent to Market Risk.
- Possess strong verbal and written communication skills.
The job holder would oversee the following results areas:
- Implement strategies to measure, report and control market risk and counterparty credit risks emanating from Treasury related activities
- Monitor trading risk and counterparty credit risk exposures against approved limits, including investigating and reporting any excess for approval by the relevant authorities on a timely basis.
- Support initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms (IRB/FRTB).
- Enhance and periodically track the KPIs included in the TCMs
Risk Appetite Statement (RAS)
as set by senior-management/Board.
- Quantify market, counterparty credit risk, and calculate required regulatory capital charge as per CBUAE(/Basel)
Pillar I
requirements on a periodic basis. This would include the Basel capital charge requirements on market risk, counterparty credit risk and standardized Credit Valuation Adjustments (CVA) capital charge.
- Timely production of metrics and regulatory returns on assessment of
HQLA assets, capital adequacy (Pillar I)
on bank s investments portfolio, ICAAP reporting (Pillar II), B/S Disclosure reporting (Pillar III) for market, liquidity and counterparty credit risk, regulatory stress testing
exercise.
- Ensure appropriate
valuation techniques
are being applied on products subject to mark to market mechanism (fair value through profit & loss accounting) including assessment of need for any fair valuation reserves, credit valuation adjustments, prudent valuation adjustments etc. Ensure adequate controls are established and maintained around usage of market data in core Treasury systems.
- Assist in the running, analyzing and monitoring of
Value at Risk
(VaR) and Potential Future Exposure (PFE)
exposure computation process.
- Ensure that the
in-house
financial models used in risk measurement and reporting are regularly parameterized
and regularly back tested
. Results generated will have to be reported and disseminated to management, traders and other stakeholders.
- Review new products and business initiatives from a market risk perspective and contribute in departments
Risk Control and Self-Assessment (RCSA)
exercise.
- Ensure to comply with the audit requirements, internal and external reporting obligations etc. in line with the policy guidelines, to ensure high standards of uniformity and consistency across the Bank.
- Support initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms
(IRB/FRTB)
and regulatory/accounting standards (IFRS 9)
.
- Overlook the design and implementation of market and counterparty credit risk related
MIS reports
for senior management. Establish and implement report generation and dissemination protocols.
- Monitoring the investment guidelines for the Asset Management business.
- Support front office dealers in Risk Adjusted Return on Capital (
RaROC)
estimations on new structured deals based on bank s RaRoC model.
- Develop Standard Operating Procedures (SOP) / process flow integrating the various workflows and metrics.
- Monitoring the daily EIBOR publication by the bank.
