AVP – Market (Alwar)

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 r Apply on Kit Job: kitjob.in/job/4nbos0