Assistant Manager - Market & Traded Credit Risk (BB-EAF4C)
Found in: Neuvoo Premium AE
Job Role: Assistant Manager - Market& Traded Credit Risk
Support and work closely with the Market Risk Manager todevelop and implement market risk management policies, processesand procedures.
- 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
calendar_today2 hours ago
location_onAbu Dhabi, United Arab Emirates
work Mashreq Bank