Group Head of Market Risk Group Head of Market Risk …

Arab Banking Corporation
in Manama, Capital Governorate, Bahrain
Permanent, Full time
Last application, 21 Oct 20
Competitive
Arab Banking Corporation
in Manama, Capital Governorate, Bahrain
Permanent, Full time
Last application, 21 Oct 20
Competitive
Lead an independent Markets Risk team, providing analysis and insight, giving assurance to the bank’s senior management that all market risks are being measured accurately and managed/controlled in line with risk appetite, meeting both internal and regulatory requirements. This role has responsibility of Market Risk Policies, Market Risk Models like VaR, PFE factors, Valuation / Pricing tools, Limit Monitoring, Analyzing Investment & Trading positions, Market Data Verification, Collateral Management & Projects including IBOR Transition. The MR unit is composed of 2 verticals: Market Risk Management & Middle Office.

Principal Responsibilities:

  • Lead an independent Markets Risk team, providing analysis and insight on all Treasury activities and Bank’s overall market risks. Providing assurance to the bank’s senior management that all risks are being measured accurately and managed/controlled in line with risk appetite, meeting both internal and regulatory requirements. The MR unit is composed of 2 distinct verticals: Market Risk Management and Middle Office.
  • Strategic risk decision making at all required levels related to Group Treasury Trading & Investments, Hedging Strategy, P&L Analysis / Performance Attribution, and Middle Office activities including market data management. 
  • Developing and maintaining Market Risk policies & framework, keeping them current to evolving markets.
  • Annual Review of Market Risk Limits to ensure alignment between risk appetite and budget aspirations. This will require close interaction with business and presenting the limit framework to Board/ Management Risk Committees
  • Actively participate and contribute to all required committees & meetings ensuring Treasury & Global Market Risk view represented in a clear and transparent manner
  • Be the lead interface with the key stakeholders – Risk, Treasury, BS&LM & Finance- in order to formulate the unit’s strategy and identify and deliver on their requirements across each of the 3 functions. This will include (but not limited to) the following:
  • Market Risk Management: Management and monitoring of all market risks and associated limits, risk review of all investment proposals and strategy, model validation, Market Risk Reports for Investment Committees and GALCO.
  • Middle Office: market / static data integrity in FO systems, revaluations and collateral management for derivatives transactions / CSAs, yield curve validation, trade surveillance
  • Projects including IBOR Transition & FRTB: lead the Group Risk workstream and be responsible for delivery and also actively engage in the IBOR transition project on other workstreams as a lead member of the Working Group.
  • Develop any new risk monitoring policies / procedures as required for new transactions or other changes to the business.
  • Lead the implementation of stress testing as required by regulatory bodies and agreed in group wide policy
  • Liaise with other Treasury functions to determine possible synergies and streamlining of overall Treasury function.
  • Ensure market best practice standards are applied to all departments within the Treasury Risk team.
  • Leadership and team development. Managing a staff of 5 risk and middle office professionals

 

Job Requirements: 

  • Knowledge: Knowledge of Market Risk / Middle Office and Treasury products, concepts, and software applications. Advanced skills in Market & Liquidity Risk Management software and Excel. Advanced communication skills.
  • Education/ Certifications: Postgraduate in numerate subject e.g. Mathematics, Finance, or CFA, or FRM, or equivalent degree.
  • Experience: 15+ years experience in Market Risk Management, Global Capital Markets and Asset / Liability Risk Management
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