Market Risk Manager at Family Bank Ltd

Key Responsibilities:

• Implementation of Market & Liquidity risk aspects of the Risk Management Framework and Market and Liquidity risk management strategy.
• Establish, maintain and review risk management policies and governance guidelines that will operate across all ALM risks.
• Define and revise risk appetites for Market and Liquidity Risks.
• Support the Mark to Market (MTM) and valuation processes by ensuring that the MTM sources are updated and reflective of market rates/prices.
• Establish and continuously enhance market risk measurement systems including valuation models, Value at Risk (VaR), sensitivities and stress testing.
• Conduct stress tests for Liquidity and Market risks and provide actionable recommendations from the stress tests conducted.
• Independent monitoring and oversight of the exposure limits, stop loss limits, VaR limits, counter party limits, rate tolerance limits and trader limits.
• Ensure compliance of Treasury’s trading activities with internal policies, regulatory guidelines and market best practices and action exceptions related to trading losses, breaches of risk limits and other Bank policies and guidelines.
• Participate in the market risk capital requirements calculation process under current regulatory frameworks.
• Ensure the bank’s compliance with Risk Management Guidelines on Market and Liquidity Risk and any other emerging regulatory requirements.
• Update the CRO or any existing or emerging significant risk exposures.
• Assist in the preparation of the Internal Capital Adequacy Assessment Process (ICAAP) report.
• Prepare market and liquidity risk reports for the Asset and Liability Committee (ALCO) and the Board Committee on Risk Management.
• Attend Treasury, ALCO and other Risk Committee Meetings as may be required.
• Follow up on issues raised in ALCO with the relevant business units to ensure resolution and provide feedback to the committee.
• Undertaking treasury middle office roles.
• Assess the risk profile of new products within the trading and investment books.
• Respond to ad hoc requests from the business, risk management or regulators.
• Assist the Chief Risk Officer in management of other risks as may be requested from time to time.
• Other official duties as assigned by the Chief Risk Officer.

The Person:

• The ideal candidate must possess the following:

Qualifications

• University degree or its equivalent in a quantitative discipline
• Professional certification (CPA, ACCA, FRM, and CFA) is an added advantage
• Minimum 4 years of relevant experience in market risk management or related field.
• Able to work with data to derive insightful reports and make recommendations
• Understanding of prudential and risk management guidelines relating to market risk

Key Competencies and Attributes

Interpersonal:

• Excellent communication and negotiation skills, with experience in developing and presenting recommendations to management.
• Commercial awareness
• Solution oriented
• Excellent interpersonal skills
• Must be a critical thinker and detail oriented
• Advanced knowledge and understanding of current local and global macro-economic conditions and dynamics
• Strong knowledge of Capital Market activities and main instruments
• Good understanding of Market Risk concepts and metrics (VaR, EVE/NII, scenario analysis, risk sensitivities, etc.), and governance frameworks.
• Strong analytical capabilities and problem solving skills to interpret data and draw conclusions.
• Ability to manipulate, analyze, summarize and present data/results
• Proficiency in Excel to maintain, improve and develop reporting tools
• SQL and Excel VBA programming skills is a plus