Head, Market
2 weeks ago
This role will be responsible for the measurement, monitoring and reporting of market and counterparty risks in the Group treasury activities and ensure regulatory compliance.
Key Responsibilities:
Risk Appetite and Governance
- Review and enhance in Market risk policies and procedures related to the trading book.
- Define the Market risk appetite and set up a regular review of the bank positions.
- Report market risk positions with respect to Group Treasury books and portfolios.
- Develop Market risk models e.g. VaR, ES models and stress testing methodologies as per both internal and regulatory requirements.
- Back testing of risk models and suggest remedial actions to adjust the risk models if required.
- Monitor the positions of Group Treasury and ensure compliance with the approved limits.
Counterparty Credit Risk Management
- Set up PFE methodology for the calculation of the Pre-Settlement Risk in Treasury books.
- Report Exposure calculations related to Counterparty Credit Risk.
- Analyse the CCR capital consumption and suggest approaches to mitigate the risk.
- Assess the counterparty credit risk of new proposals, specifically structured deals and propose approaches for the calculation.
Executive
Employment typeFull-time
Job functionFinance, Analyst, and Other
IndustriesBanking, Investment Banking, and Financial Services
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