To conduct the analysis, monitoring and assessment on a wide array of market risk aspects and asset / liability management in order to facilitate administration of operations within the established risk appetite.
Includes stress testing and financial modelling of bank’s assets and liabilities in order to help maintain adequate liquidity ratios and the implementation of a robust risk management framework.
Market Risk Analytics Trading & Investments Develop, implement and maintain market risk models such as Value-at-Risk (VaR) to facilitate the effective assessment of an array of risks including interest rate risk, credit spread risk, basis risk among others.
Produce daily risk based P&L Source the required market data with the aim of producing accurate market risk analysis and reporting Ensure adherence to established risk levels while reporting on any breach to management Articulate a daily view of risk and profit / loss to senior management in risk, including explanations of substantial position changes, limit violations and material market factor changes Review, validate and backtest the necessary market risk models on an ongoing basis Assess the appropriateness of the risk reward profile of new investments ALM Review on an ongoing basis interest rate risk and liquidity risk assumptions Monitor regularly the liquidity risk position and profile Develop the bank’s dynamic ALM model which includes being able to model financial assets, liabilities and derivatives.
Provide an independent view of Interest Rate market risk exposure in the balance sheet and in other business activities within the Bank Enhance IRR oversight reporting by clarifying components of interest rate risk and introducing analytics around sensitivity to model assumptions (prepayments, deposit pricing and attrition) Participate in the development of the bank’s Economic Risk Capital (ERC) / Stress Test model including, prepare documentation, form parameter assumptions, methodologies and processes.
Monitor and maintain / develop various risk measures such as; EVE and EaR Other requirements Understand how changes in risk profiles impact the balance sheet and RWA usage.
Perform independent ad-hoc risk analysis and generating daily exposure reports or dashboard using VBA and MATLAB. Identify and implement opportunities to improve Risk processes and outputs to drive efficiency, value and control improvements.
Proficient and working knowledge of VBA and MATLAB a requirement to add process efficiency. Liaise with various groups including, Finance, IT, Investment & Treasury and Operations Assist in the testing and implementation of strategic infrastructure to enhance risk management’s capabilities Prepare analysis and presentations supporting recommendations to the Head of Market Risk Middle Office Analytics Monitor treasury positions and limits while carrying out effective implementation of treasury and hedging strategies in accord with established policies and regulatory standards.
Respond to limit violation alerts and report as per the defined procedures. Monitor trading activity during the day against limits and defined guidelines.
Calculate and monitor VaR and duration / convexity limits on an end-of-day basis. Monitor the timeliness of deal input by dealers to ensure adherence to defined guidelines.
Generate exception reports at the end of day for managerial review Process margin call requests Continuous Improvement Contribute to the identification of opportunities for continuous improvement of systems, processes and practices taking into account international leading practice’, improvement of business processes, cost reduction and productivity improvement.
Policies, Systems, Processes & Procedures Recommend improvements to departmental procedure and direct the implementation of instructions and controls covering a specific area of activity so that all relevant procedural / legislative requirements are fulfilled while delivering a quality, cost-effective service.
Statements and Reports Assist in the preparation of timely and accurate regulatory related reports and reports to meet CBQ and department requirements, policies and standards.
Job Details Posted Date : 2021-10-26Job Location : Doha, QatarJob Role : BankingCompany Industry : Banking Preferred Candidate Career Level : ManagementDegree : Bachelor's degree