Description:

Job Role: Assistant Manager - Market& Traded Credit Risk

JobDescription

Support and work closely with the Market Risk Manager todevelop and implement market risk management policies, processesand procedures.

Key ResultAreas

• Implementstrategies to measure, report and control market risk andcounter-party credit risks emanating from Treasury relatedactivities.
• Monitor trading risk andcounter-party credit risk exposures against approved limits,including investigating and reporting any excess for approval bythe relevant authorities on a timely basis.
• Must have knowledge on valuations of treasury productsincluding different type of valuations reserves such as fair valuereserves, credit valuation adjustments, prudent valuationadjustments etc.
• Support initiatives andprojects required on the ongoing improvement of internal proceduresand support the bank in transition to newer Basel norms(IRB/FRTB).
• Assist in the running, analyzingand monitoring of Value at Risk and Pre-Settlement Risk Exposure(PSRE) exposure computation process.
• Regularanalysis of the VaR and PSRE models through back testingmethodologies.
• Enhance and periodically trackthe KPIs included in the market risk appetite framework as set bymanagement.
• Quantify market risks andcalculate required capital charge as per CBUAE/Basel requirementson a periodic. Must be well versed with Basel capital chargerequirements on counterparty credit risk and Credit ValuationAdjustments (CVA).
• Review new products andbusiness initiatives from a market risk perspective and contributein departments Risk Control and Self-Assessment (RCSA)exercise.
• Ensure to comply with the auditrequirements, internal and external reporting obligations etc. inline with the policy guidelines, to ensure high standards ofuniformity and consistency across the Bank.
• Production of reliable metrics for market risk managementand obtain limit excess ratification/approvals as defined inpolicy.
• Monitoring of the investmentguidelines for the Asset Management business.
• Monitoring the daily EIBOR publication by thebank.
• Timely production of quarterly metricsand regulatory returns such as assessment of HQLA assets, Pillar 1reporting, ICAAP reporting, stress testing etc.
• Develop Standard Operating Procedures (SOP) / processflow integrating the various workflows and metrics.

Knowledge, Skills and Experience
 

• At least 3-5 yearsof experience in banking with exposure to Treasury.
• At least 2+ years in market risk relatedfunctions.
• Degree in Finance, banking studiesor any relevant commercial discipline.
• Professional Qualification would be a distinct advantagee.g. CFA /FRM.
• Excellent computer skills(especially Excel, Visual Basics, SQL etc.). Working knowledge ofdeal booking systems, Bloomberg, Reuters a plus.
• Satisfactory understanding of latest Basel Accords andthe treatment of Market Risk there under.
• Strong analytical skills and knowledge on Financial RiskManagement
• Candidates must prove that theyhave knowledge of statistical and financial / economicconcepts.
• Team player, self-starter,innovative and highly motivated