We are seeking a proficient and analytical Market Risk Analyst with experience in the Banking sector.
KEY RESPONSIBILITIES:
Market Risk Analysis:
- Calculate market risk metrics such as VaR, CVaR, Expected Shortfall (ES), etc. using different methods (historical simulation, variance-covariance, Monte Carlo simulation, etc.)
- Develop stress testing and scenario analysis models and frameworks around market risk
- Identify and implement market risk mitigation techniques such as hedging, risk transfer and diversification using knowledge about:
- Derivatives and their sensitivity measures - futures, swaps, options and option greeks
- Money market and wholesale banking products
- Equity, fixed income, and forex markets
Data Management and Analytics:
- Utilize SQL/Python for data extraction, manipulation, and analysis.
- Develop dashboards and reports to provide insights into market risk exposures and trends.
- Perform data validation and ensure data integrity for all market risk-related information.
Regulatory Compliance:
- Ensure compliance with UAE Central Bank regulations and prudential norms related to market risk.
- Stay updated with regulatory changes and assess their impact on the bank's market risk policies and procedures.
- Prepare and submit regulatory reports related to market risk.
Model Validation:
- Conduct validation and back-testing of market risk models to ensure their accuracy and effectiveness.
- Document model validation processes and findings.
- Support the enhancement of risk models and methodologies.
ILAAP Validation:
- Experience in conducting Internal Liquidity Adequacy Assessment Process (ILAAP) validation.
- Ensure the bank's liquidity risk management framework complies with regulatory requirements.
- Validate and back-test liquidity risk models to ensure their accuracy and effectiveness.
Risk Mitigation Strategies:
- Identify potential market risk issues and recommend and implement market risk mitigation strategies.
- Monitor the performance of market portfolios and provide actionable insights to senior management.
QUALIFICATIONS:
- Bachelor's degree in Finance, Economics, Mathematics, or a related field. Advanced degrees or professional certifications (e.g., FRM, CFA) are a plus.
- 4-8 years of experience in market risk analysis within the banking sector in the UAE.
- Proven experience and understanding of market risk measurement, stress testing, and mitigation
- Proficiency in SQL and Python for data analysis and model development.
- In-depth knowledge of UAE Central Bank regulations and prudential norms related to market risk.
- Experience with risk management software and tools.
- Understanding of macroeconomic factors affecting market risk.
- Experience with market risk model validation and ILAAP validation.
- Strong analytical and problem-solving skills with attention to detail.
- Excellent communication and interpersonal skills.
- Ability to work independently and collaboratively in a fast-paced environment.
