AVP – Market & Traded Credit Risk

Job Purpose :

Support and work closely with the Head Market & Traded Credit Risk to develop and implement market & traded credit risk management policies, processes, computations and procedures.

Key Result Areas

The job holder would oversee the following results areas:

• Ensure compliance to CBUAE’s ‘Regulations & Standards’ on matters of Market Risk and/or Counterparty Credit Risk (if required).

• Enhance and periodically track the KPIs included in the TCMs ‘Risk Appetite Statement’ (RAS) as set by senior-management/Board.

• Ensure appropriate valuation techniques are being applied on products/instruments subject to mark to market mechanism (fair value through profit & loss accounting) including assessment of need for any fair valuation reserves, credit valuation adjustments, prudent valuation adjustments etc.

• Ensure adequate controls are established and maintained around usage of market data in core Treasury systems.

• Lead in the development, maintenance and monitoring of Fundamental Review of the Trading Book (FRTB) , Value at Risk (VaR) and Pre-Settlement Risk Exposure (PSRE) exposure computation models, systems and processes.

• Ensure all models used by the department meet both regulatory and bank’s standards on model risk management . Ensure that the ‘in-house’ financial models used in risk measurement and reporting are regularly parameterized and regularly back tested .

• Work closely with Treasury front office units to review, amend and approve ‘limit structures’ covering the bank-wide proprietary trading activities.

• Ensure monitoring and management of traded risk and counterparty credit risk exposures against approved limits, including investigating and reporting any excess for approval by the relevant authorities on a timely basis.
• Quantify market, counterparty credit risk, and calculate required regulatory capital charge as per CBUAE(/Basel) Pillar I requirements on a periodic basis. This would include the Basel capital charge requirements on market risk, counterparty credit risk and standardized Credit Valuation Adjustments (CVA) capital charge.

• Support front office dealers in Risk Adjusted Return on Capital (RaROC) estimations on new structured deals based on bank’s RaRoC model.

• Support initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms (IRB/FRTB) and regulatory/accounting standards (IFRS 9) .

• Overlook the design and implementation of market & counterparty credit risk related MIS reports for senior management. Establish and implement report generation and dissemination protocols.

• Ensure the bank’s board approved KRI’s on its securities investment portfolio is tracked and reported on a periodic basis (MIS to bank’s Investments Committee).

• Ensure to comply with the audit requirements, internal and external reporting obligations etc. in line with the policy guidelines, to ensure high standards of uniformity and consistency across the Bank.

• Review new products and business initiatives from a market risk perspective and contribute to department’s Risk Control and Self-Assessment (RCSA) exercise.

• Develop Standard Operating Procedures (SOP) / process flow integrating the various workflows and metrics.

Knowledge, Skills and Experience :

• At least 7-10 years of experience in banking with exposure to Treasury.

• At least 5+ years in market risk related functions.

• Degree in Finance, banking studies or any relevant commercial discipline.

• Professional Qualification would be a distinct advantage e.g. CFA /FRM.

• Excellent computer skills (especially Excel, Visual Basics, SQL etc.). Working knowledge of deal booking systems, Bloomberg, Reuters a plus.

• Satisfactory understanding of latest Basel Accords and the treatment of Market Risk there under.

• Strong analytical skills and knowledge on Financial Risk Management

• Candidates must prove that they have knowledge of statistical and financial / economic concepts.

• Team player, self-starter, innovative and highly motivated.