AVP – Market & Traded Credit Risk

Job Purpose :Support and work closely with the Head Market & Traded Credit Risk to develop and implement market & traded credit risk management policies, processes, computations and procedures.Key Result AreasThe job holder would oversee the following results areas:Ensure compliance to CBUAE’s ‘Regulations & Standards’ on matters of Market Risk and/or Counterparty Credit Risk (if required).Enhance and periodically track the KPIs included in the TCMs ‘Risk Appetite Statement’ (RAS) as set by senior-management/Board.Ensure appropriate valuation techniques are being applied on products/instruments subject to mark to market mechanism (fair value through profit & loss accounting) including assessment of need for any fair valuation reserves, credit valuation adjustments, prudent valuation adjustments etc. Ensure adequate controls are established and maintained around usage of market data in core Treasury systems.Lead in the development, maintenance and monitoring of Fundamental Review of the Trading Book (FRTB), Value at Risk (VaR) and Pre-Settlement Risk Exposure (PSRE)exposure computation models, systems and processes.Ensure all models used by the department meet both regulatory and bank’s standards on model risk management. Ensure that the ‘in-house’ financial models used in risk measurement and reporting are regularly parameterized and regularly back tested. Work closely with Treasury front office units to review, amend and approve ‘limit structures’ covering the bank-wide proprietary trading activities.Ensure monitoring and management of traded risk and counterparty credit risk exposures against approved limits, including investigating and reporting any excess for approval by the relevant authorities on a timely basis.Quantify market, counterparty credit risk, and calculate required regulatory capital charge as per CBUAE(/Basel) Pillar I requirements on a periodic basis. This would include the Basel capital charge requirements on market risk, counterparty credit risk and standardized Credit Valuation Adjustments (CVA) capital charge.Support front office dealers in Risk Adjusted Return on Capital (RaROC) estimations on new structured deals based on bank’s RaRoC model.Support initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms (IRB/FRTB) and regulatory/accounting standards (IFRS 9).Overlook the design and implementation of market & counterparty credit risk related MIS reports for senior management. Establish and implement report generation and dissemination protocols.Ensure the bank’s board approved KRI’s on its securities investment portfolio is tracked and reported on a periodic basis (MIS to bank’s Investments Committee).Ensure to comply with the audit requirements, internal and external reporting obligations etc. in line with the policy guidelines, to ensure high standards of uniformity and consistency across the Bank.Review new products and business initiatives from a market risk perspective and contribute to department’s Risk Control and Self-Assessment (RCSA) exercise.Develop Standard Operating Procedures (SOP) / process flow integrating the various workflows and metrics.Knowledge, Skills and Experience :At least 7-10 years of experience in banking with exposure to Treasury.At least 5+ years in market risk related functions.Degree in Finance, banking studies or any relevant commercial discipline.Professional Qualification would be a distinct advantage e.g. CFA /FRM.Excellent computer skills (especially Excel, Visual Basics, SQL etc.). Working knowledge of deal booking systems, Bloomberg, Reuters a plus.Satisfactory understanding of latest Basel Accords and the treatment of Market Risk there under.Strong analytical skills and knowledge on Financial Risk ManagementCandidates must prove that they have knowledge of statistical and financial / economic concepts.Team player, self-starter, innovative and highly motivated.

Apply Now