Market Risk Governance Lead
1 week ago
This role will be responsible for the oversight of market and counterparty risks in RESO's treasury activities and ensuring regulatory compliance.
Key Responsibilities:
- Review and enhance 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 RESO 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 RESO Treasury and ensure compliance with approved limits.
Counterparty Credit Risk Management
- Set up PFE methodology for the calculation of pre-settlement risk in RESO Treasury books.
- Report exposure calculations related to counterparty credit risk.
- Analyse 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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Market and Counterparty Risk Professional
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Head of Market Risk Management
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