Assistant Manager - Market & Traded Credit Risk
Mashreq Bank
UAE, Abu Dhabi,Abu Dhabi
منذ 1 يوم
source : Drjobs.ae

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
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