Market Risk Governance Lead

1 week ago


Manama, Manama, Bahrain RESO Full time

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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