Market Risk Manager – Commercial Bank

Company: Full Time Jobs in Qatar Sector: Risk & Insurance
  • Location: Doha, Qatar View on Map
  • Date Posted : April 21, 2024
  • Salary: Negotiable

About the job

Job Purpose:

To conduct the analysis, monitoring and assessment on a wide array of market risk aspects and asset & liability management (ALM), including valuation, stress testing and financial modelling of bank’s assets and liabilities.

Key Responsibilities:

Market Risk Analytics

Trading & Investments

Develop, implement and maintain market risk models to facilitate effective assessment and monitoring of an array of risks including interest rate risk, credit spread risk, basis risk among others. Review, validate and backtest the necessary market risk models on an ongoing basis

Produce daily risk based P&L for trading and investment portfolios. Articulate a daily view of risk and P&L to senior management in risk, including explanations of substantial position changes, limit violations and material market factor changes

Monitor established risk levels with reporting on any breach to management

Assess the appropriateness of the risk reward profile of new investments and product types. Assist in development of valuation models for new product types

Ensure regulatory compliance in the market risk area, including FRTB

ALM

Measure, monitor and report on interest rate risk and liquidity risk position and profile

Develop and maintain dynamic ALM modelling including stress testing

Enhance IRR oversight reporting by clarifying components of interest rate risk and introducing analytics around sensitivity to model assumptions (prepayments, NMD stability, deposit pricing)

Participate in the development of the bank’s Economic Risk Capital (ERC) / Stress Test model including, prepare documentation, form parameter assumptions, methodologies and processes.

Continuous Improvement & Other requirements

Understand how changes in risk profiles impact the balance sheet and RWA usage

Assist in the testing and implementation of strategic infrastructure to enhance risk management’s capabilities, including valuation of financial instruments

Prepare analysis and presentations supporting recommendations to the Head of Market Risk

Key competencies:

Experience with Kondor or any other Treasury systems

Strong working knowledge of Bloomberg

Knowledge of Capital Markets and OTC products: how the markets operate, what the products are, what the main risk drivers are and how the financial instruments and derivatives are revalued

Familiarity with market risk modelling techniques and regulatory requirements (FRTB)

Experience with model validation techniques and processes

Required Qualifications:

Bachelor degree in business or equivalent

Msc in a quantitative subject

Required Experience:

5 – 10 years of relevant experience in market risk

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