Description:
You Will Provide Support For
- Definition, development and implementation of MR measurement tools, systems, processes, and reporting across QNBFS;
- Support in quantitative analysis and evaluations on market conditions, emerging risk trends and methods for relevant hedging;
- Assist in the effective net liquid capital management methods, process, and development of MR Strategy and ensure alignment to the overall QNBFS Business Strategy and GSRM guidelines;
Role Description
- Support in the oversight and formulation of advice to the Senior Management on the current market making risk exposures including the related strategy for capital and liquidity management with due consideration to the macroeconomic and financial environment of capital markets.
- Assist in developing more sophisticated/ advanced methods for calculation / measurement of market risk and economic capital.
- Monitor and analyze market conditions and develop recommendations on adequate and timely mitigating actions / recommendations to reduce, diversify, or hedge these risks.
- Promote cost consciousness and efficiency and enhance productivity, to minimize cost, avoid waste, and optimize benefits for the bank
- Act within the limits of the powers delegated to the incumbent and delegate authority to the respective staff and monitor exercise of the same.
- Review MM/LP contractual agreements with regulators and clients as applicable, pertaining to the market risk impact to ensure full compliance with the legal and regulatory requirements.
- Support the Head of Risk in providing timely and accurate risk information to Risk & Management Committees, GSRM, external & internal auditors and the Compliance function as and when required.
- Support the Market Making project team in the successful implementation of the market risk framework for MM/LP activity.
- Assist in designing suitable Risk policies, procedures and controls for market making in coordination with QNB Strategic Risk Department.
- Incorporate the quantitative risk parameters including regulatory and internal pre-trade risk controls & limits into the MM/LP system.
- Introduce and manage Pre-trade and Post-trade controls and reporting encompassing Front office, Middle Office and back office process flows for new products such as securities lending and borrowing, derivatives and international markets listed instruments trading and margin trading, for LP/MM desk as well as brokerage dept. In coordination with GSRM,
- Design a limit control framework capturing all applicable risk factors and dimensions in coordination with GSRM, both within the IT system and through other monitoring mechanisms.
- Design a Value at Risk (VaR) methodology and ensure that the VaR IT system model is calibrated accordingly.
- Perform the detailed risk analytics, including the risk methodologies, risks not fully captured in VaR, trading positions, etc. and conduct the daily review and analysis of the VaR figures and other risk reports.
- Have a back testing plan to validate the models at regular intervals and take corrective actions whenever required, to provide high assurance on the risk models.
- Develop a Risks & Controls Self-Assessment (RCSA) and Key Risk Indicators (KRI) for market and liquidity risks.
- Support the Head of Risk to monitor, control, report and escalate breaches of limits and KRIs for suitable remedial actions.
- Work closely with Head of Risk and GSRM to handle and report critical market risk events and limit breaches.
- Support the framework of RCSA, KRI, Incident reporting and remediation, as appropriate, in accordance with the Operational Risk Management requirements.
- Maintaining utmost confidentiality concerning customer and internal bank information obtained during the course of business and provide such information on a need to know basis only to Senior Management of QNB, Audit and Compliance functions, and relevant Regulators.