Job closed
Ref: KP709-2631
Job description / Role
Job Purpose:
The role reports into Head of Treasury Middle Office & Market Risk Analytics (TMO) and is intended to provide support for all Treasury Middle Office (TMO) processes and reporting. The individual will have a strong technical understanding of the control of Market Risk.
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- Provide TMO analysis and reporting accompanied by commentary, ensuring that risks are clearly explained to a non technical audience.
- The senior analyst will also provide support for the following: a) Support definition, development and implementation of ALM Market Risk measurement tools, systems, processes, and reporting across Group
- Support normal operations of Treasury Middle Office.
- Provide cover for all TMO and Liquidity processes.
- Ensure the risks implicit in the Trading book do not exceed the risk appetite of the Bank.
- Provide expert input into the calculation of Economic Capital and Risk Strategy development, ensuring alignment to the overall Group Business Strategy
- Define and drive improvements in the effective operation of data management, MIS, analytics evaluations, and other support required for ALCO and Group Risk Committee
- Perform regular stress and scenario testing, ensuring compliance with the Bank’s risk appetite
- Publish results and their interpretation to ALCO. g) Conduct annual Treasury / Market Risk model risk assessments.
- Provide back testing results of VaR models as part of monthly reporting and evaluate results
- Provide oversight and control of the fundamental prudential risks of the bank: counterparty, leverage, liquidity, interest rate, currency, and other market risks.
- Advise and assist the Head of Group ALM, Liquidity & Market Risk to enable the Bank to move to more sophisticated/ advanced methods for calculation / measurement of market risk and capital.
- Calculate the regulatory capital requirement of Market Risk and provide input, support and expert advice in the process of managing market risk regulatory capital (including ICAAP) and regulatory liquidity measures (including LCR and NSFR ratios).
- Provide expert advice with respect to market risk / liquidity / ALM / portfolio risks associated with new product launches (retail, corporate, trsury for conventional and Islamic banking).
Requirements
Requirements:
- Masters degree preferably in finance, economics &/or quantitative subjects.
- Prefer Treasury market Specialization & / or Professional certification such as FRM, CPA, CFA.
- 8+ years of experience in international banking with specific focus on ALM, Market Risk and Liquidity Risk Analytics/Quantitative Methods.
- Understanding of risk methodologies, interest rate modelling, VAR, and/or other complex financial risk modelling.
About the Company
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