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VP Market Risk – UAE – Major Regional Bank

Salary: Competitive
Location: Abu Dhabi
Type: Permanent
Advertiser: Huxley Associates
Posted: 16 July 2012
Reference No.: GJM-39085
The successful candidate will be responsible for measuring, monitoring and reporting Market Risk at the Group level. He will be assisting SVP & Head – Credit Risk & Market Risk in managing Group Market Risk including Interest Rate Risk, Fx Risk and Liquidity Risk:
  • Measuring and managing Interest Rate Risk at the Group level
  • Measuring and managing Fx risk at the Group level
  • Measuring and managing Liquidity risk at the Group level
  • Implementation of Market Risk System lie Murex, ALM and FTP.
  • Implementation of Market Risk Model including VaR tools.
  • Preparation of Group Asset Liability Committee (G-ALCO) folder.
  • Manage Market Risk team [total team size 4 members]
Central to this role are the following tasks:
  • Define the Market Risk Appetite for the Group.
  • Define and maintain Market Risk Limits within the defined Risk Appetite
  • Ensure Market Risk Policies are kept contemporary.
Risk Measurement Tools and Methodologies:
  • Assist in developing Var Models and Stop Loss limits measuring Fx Risk and IRR Risk in the Trading book.
  • Assist in developing sensitivity limits for Fx and IRR Risk for both Banking and Trading book.
  • Assist in the implementation of Murex Phase 2 [VaR Models]
  • Assist in the implementation of proposed ALM, FTP and Liquidity system for the Group.
Risk Reporting:
  • Periodically propose Market Risk Limits to G-ALCO/ RMC (Risk Management Committee).
  • Monitor and report Market Risk Limits Breaches as approved by RMC/ G-ALCO.
Risk Compliance and Audit:
  • Dialogue with CBUAE, Statutory Auditors, Internal audit on matters relating to Compliance, Basel III and IMA framework.
  • Assist FCD in providing clarifications on Market Risk capital charge.
Risk Committees:
  • Prepare reports for G-ALCO and RMC.
Requirements include: - Strong academic pedigree (Bachelors plus CA/ MBA/ FRM/ CFA). - Work experience of 10- 12 years in Banking with minimum 5 years experience in Treasury/ Market Risk of a large Bank consisting of:
  • Well developed Market Risk Infrastructure
  • Strong analytics and problem solving skills and demonstrated knowledge in Treasury and Market Risk.
  • Strong understanding of Market Risk / Treasury system including Bloomberg/ Reuters etc.
Please send an updated resume to Keon Jamshidi at Huxley Associates for confidential consideration. (Huxley Associates acts as an Employment Agency and an Employment Business)

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