Head of Treasury Risk

Job Purpose

Responsible for managing the Market Risk Management function, aiming at adherence with regulatory norms, prompt and accurate identification quantification and analysis of on and off-balance sheet market risks and counterparty credit risks. This includes developing, implementing and optimizing models, policies, procedures and controls required to enable risk to be managed within appetite and prevent unexpected loss to the Bank.

Principle Accountabilities

• Ensuring appropriate derivatives portfolio valuation and reporting including overseeing the customer derivatives portfolio valuation and distributing to costumers on monthly basis.
• Responsible for implementation all Market and counterparty credit risk metrics such as VaR covering all asset classes, sensitivities (DV01 and CS01) and PFE calculation.
• Use, development and maintenance of models including back testing of XVA, IRRBB, market risk and counterparty credit risk models to ensure their accuracy and reliability.
• Perform stress testing and scenario analysis for the investment portfolio and trading portfolio.
• Independent price verification covering bonds, FX and interest rate products and calculation of valuation adjustments for illiquid positions.
• Responsible for market, IRRBB and liquidity risk calculation and reporting to Senior Management (ALCO) as per set frequency including actual and appropriate stress scenarios.
• Review, validate and identify risk factors for new treasury products from a market and counterparty credit risk perspective.
• Provide guidance and challenge to Treasury on its strategy in terms of risk taking, by utilizing appropriate materials including stress testing and sensitivity analysis.
• Responsible for the implementation of market (including IRRBB) and counterparty risk related regulatory requirements & recommendations determined by the Central Bank of United Arab Emirates.
• Effect the timely remediation of observations emanating from: internal audit, regulatory & compliance requirements, or other mandated bodies.
• Maintain and develop market, counterparty and IRRBB capital models.
• Deliver regular risk analysis, evaluation and recommendations to ALCO on market, counterparty and liquidity risk profile of the bank.
• Maintain policies covering Market and other risks run by Treasury including IRRBB, Counterparty Risk as well as documentation and procedures for all Market Risk activities and models.
• Ensure the provision of guidance and training to establish a good understanding of market risk models and processes for team members and other relevant users.
• The jobholder is responsible for ensuring an efficient and effective Market, IRRBB and Counterparty Risk Framework for the CRO, Treasurer and ALCO.

Experience and Qualifications

• A minimum of 10 years relevant and progressive experience in a Senior Risk Management capacity within leading local or international financial institutions
• Comprehensive understanding of Treasury products from a pricing, market and counterparty risk point of view and good understanding from of relevant documentation and operational processes.
• Masters in Financial or analytical/quantitative discipline preferred
• Professional certification such as PRM, CPA, and CFA etc. is an added advantage

Skills

• Good command of English
• Ability to influence and counsel both upwards and downwards within the organization
• Decision making and judgmental skills
• High degree of analytical skills
• Planning and organizing skills
• Presentation skills
• Sound commercial judgement and problem-solving ability