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