Duties and responsibilities
▪Responsible for extracting daily profiles from system and reconciling data with Finance to Compute & Monitor Bank’s daily Market Risk Metrices & Limits across FX, Interest Rates, Equities, Treasury & Trading Portfolio.▪Responsible for Computing and monitoring VaR ,Expected Short Fall, Stop Loss limits & FX NOP…etc.▪Responsible for monitoring daily Liquidity Metrices and Funding Risk through monitoring EWI’s, Liquidity Position, cash flows, funding concentration and maturity mismatches …etc.▪Responsible for Computing and monitoring the IRRBB, Repricing Gaps and mismatches with key metrices.▪Responsible for ensuring that Risk management policies & standards are adhered to by Business units.▪Support in the preparation of the daily, weekly, monthly & Regulatory Market Risk reports .▪Support in the preparation of Quarterly Stress test, Annual ICAAP & Recovery Plan.▪Support in preparing any Ad-hoc studies, sensitivities & analysis requested from the Senior Management.▪Support in development, maintenance and review of conducted Market Risk Models.▪Responsible for active, timely reporting and escalation to Head of Market Risk in case of any Key Metrices hikes & breaches.
Job specification
Education Bachelor’s degree of Economics & political Science, Commerce, Accounting or Business
Experience Minimum 2 years’ experience in Market Risk or relevant experiences in Risk Management Preferable with specialized degree in Risk (i.e FRM, CMRP, CMRM, ACI DC, FMVA). Preferable to be acquainted with Reuters and deal tracker.