Job Specific Accountabilities
Assist the head of market risk oversight in implementing the Market Risk Appetite Framework ensuring a robust oversight and monitoring mechanism is in place.
Ensure correct monitoring and reporting of all market risks is done on a daily basis.
Ensure that all risk reports are reviewed, validated and analysed before and after dissemination to stakeholders
Ensure the business operates within the approved market risk limits
Perform stress testing in accordance with internal policies / regulatory guidelines.
Assist market risk management in preparing the risk packs to senior risk committees
Identify emerging risks and control issues, review existing risk appetite for each business line and monitor and ensure business activities are performed within the approved Risk Appetite Framework.
Monitor daily limit utilizations, evaluate limit framework and communicate risk exposures and breaches to the front office and senior risk management.
Analyze VaR, Stress VaR, Stress Test Output for the banks trading portfolio, identify potential downside and discuss with front office on an ongoing basis to mitigate such risks.
Ability to understand risk contributors to VaR metrices and any adverse impact of any position in capital utilizations.
Provide analysis and commentary on changes in risk position their impact on key risk metrices, ability to correlate such position changes with market movement ensure detailed understanding of all P&L and risk drivers.
Support regulatory submissions relating to Market Risk metrices (e.g. VaR, Sensitivity measures, Stress testing).
Work with market risk managers on current reporting needs and strategic risk data program.
Provide periodic guidance for policy review, enhancement & development in relation to Market Risk, coordinate with other sub functions within Group Risk in towards providing relevant input.
Assist in the planning and implementation of the market risk policies as required for new business/products ensure appropriate market risk management framework and internal controls.
Lead and manage the implementation of various new projects and internal governance, and oversee the regulatory submission processes the Bank’s VaR enhancement engine.
Participate in the market risk capital requirements calculation process under current regulatory frameworks
Suggest, develp and implement measures leading to a better risk management framework and improvement of internal controls
Take ownership of key responsibilities, and be a problem solver
Respond to ad hoc requests from the business, risk management or regulators
Responsibilities
Specific Accountability
Work closely with Front Office and enablement functions to achieve the role objectives:
Technology teams: to (i) resolve all IT related issues that might hinder the quality of the risk reporting and (ii) implement relevant changes that would improve the quality and efficiency of MR Oversight processes.
Market Risk Middle Office : for daily validation of market and static data, collateral, risk reports etc.
Market Risk Analytics team for valuation/risk methodologies, market data etc.
Product Control (IPV) : active liaising to ensure the correct reflection of market data used for official valuation & risks.
Group IT: Coordinating with different IT teams for implementation and development of projects related to Market Risk Oversight
Group Internal Audit: to address all recommendations in a timely manner.
Qualifications
Minimum Qualification
Bachelor’s degree in Finance or Economics.
Professional certification like FRM or CFA would be an added advantage
Minimum Experience
5 years’ relevant experience in the banking sector with at least 2/3 years in similar positions in the Market Risk or Treasury function.
Other essential requirements
Experience of having extensively worked on Murex platform for market risk management.
Ability to work accurately under pressure to tight deadlines.
Strong inter-personal and communication skills in order to interact confidently with senior management
Solid experience in the financial services industry, independently coordinating the implementation of large framework, program, functions and projects
