Senior Officer, Market & Traded Credit Risk (Pakistan CoE)
Mashreq Bank
Remote, Remote, PK
3d ago
source : Mehnat Mazdoori

Job Purpose :

  • Support and work closely with the Market Risk Manager to develop and implement market risk management policies, processes and procedures.
  • Key Result Areas :

  • Implement strategies to measure, report and control market risk and counterparty credit risks emanating from Treasury related activities.
  • Monitor trading 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.
  • Must have knowledge on valuations of treasury products including different type of valuations reserves such as fair value reserves, credit valuation adjustments, prudent valuation adjustments etc.
  • Support Initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms (IRB / FRTB).
  • Assist in the running, analyzing and monitoring of Value at Risk and Pre-Settlement Risk Exposure (PSRE) exposure computation process.
  • Regular analysis of the VaR and PSRE models through back testing methodologies.
  • Enhance and periodically track the KPJs included in the market risk appetite framework as set by management.
  • Quantify market risks and calculate required capital charge as per CBUAE / Basel requirements on a periodic. Must be well versed with Basel capital charge requirements on counterparty credit risk and Credit Valuation Adjustments (CVA).
  • Review new products and business initiatives from a market risk perspective and contribute in departments Risk Control and Self- Assessment (RCSA) exercise.
  • 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.
  • Production of reliable metrics for market risk management and obtain limit excess ratification / approvals as defined in policy.
  • Monitoring of the investment guidelines for the Asset Management business.
  • Monitoring the daily EIBOR publication by the bank.
  • Timely production of quarterly metrics and regulatory returns such as assessment of HQLA assets, Pillar 1 reporting, ICAAP reporting, stress testing etc.
  • Develop Standard Operating Procedures (SOP) / process flow integrating the various workflows and metrics
  • Knowledge, Skills and Experience :

  • At least 3-5 years of experience in banking with exposure to Treasury.
  • At least 2+ 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
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