Head, Market
4 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
Market Risk Management
- 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 relayed 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.
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