Job Purpose
To identify, assess, monitor and analyse the Bank-wide risk with a focus on Capital, Liquidity, Market (Interest Rate) and Model risks. Responsible for 2nd Line of defence risk management associated with market risk, models management, stress testing, capital adequacy, liquidity and interest rate risk (IRR).
Ensuring the Bank has a forward-looking compliance program with respect to Basel capital guidelines and best practice capital management.
Preparing ILAAP & ICAAP reporting on regular basis and providing the update to the Management.
Key Accountabilities
ICAAP & Capital Management
• To enhance Basel regulations across the bank and ensure compliance with all regulatory requirements and standards.
• Assist in formulating, review and update capital Management and ICAAP Policy, capital adequacy & IRRBB policies, guidelines and procedures.
• Identify and monitoring Basel Pillar 1 and 2 risks, review & Prepare risk models, and help assess the Bank’s capital adequacy and related assumptions.
• Assist in the preparation of the Internal Capital Adequacy Assessment Process (ICAAP) report and support the submission process to the Central Bank of UAE, including coordination for internal reviews and approvals.
• Compute and analyse of the Pillar II/III Capital Adequacy Ratio monthly.
• Support development of economic capital calculation and Enterprise Risk Management Framework and assist management in the capital planning and allocation process
• Preparation of Basel capital adequacy returns and other regulatory risk reports for submission to the Central Bank.
• Support in coordinating the Stress Testing Programme, including preparation of results for review by governance committees on a quarterly basis.
ILAAP, IRRBB, Liquidity & Funding Risk Management
Compute and present related KRIs on monthly basis.
Monitor the Value at Risk for FX portfolio/ Investment Portfolio on monthly basis.
IRRBB Reports
Liquidity Reports including ILAAP
Model Governance
• Manitain an inventory of material models and track their status relevant to IRRBB / Liquidity Management.
• Support the preparation of approval, review, and validation documentation for risk models.
• Help in internally validating critical models and preparing summary reports for governance committees.
Audit / Regulators.
Liaise with internal / external auditors and regulators (CBUAE) where appropriate.
Liaise with CBUAE examiners on issues pertaining to Treasury, Market Risk, Liquidity Risk and Interest Rate Risk.
Projects/Other
Provide all necessary support in the upgrade of Ambit Focus – IRRBB / FTP / Liquidity Risk / Market Risk systems within the Bank.
Implementation of Approved RAROC model across the Bank.
Other Accountabilities
Other Accountabilities
Job Context
Works with Sr. Executive – Financial Management & Planning, Business Heads, Direct reports of MANCOM. Responsible for the process of Liquidity Interest rate and Capital management and plays a pivotal role in decision making.
Education
Experience and Skills
Education Level
-Bachelor’s / master’s degree in finance / preferably Chartered Accountant or ACCA
Professional Qualification (Preferable)
- CFA/FRM/PRM/CQF
Background and Experience
- Minimum 10-12 years of experience in a banking or non-banking financial institution with experience in Quantitative Risk Analysis including stress testing, Market Risk, Basel & Risk Analytics
- Market Risk, Liquidity Risk and IRRBB subject matter expert, with good understanding of current banking regulations pertaining to CBUAE
Skills
- Strong analytical skills and numerically adept
- Excellent verbal and written communication skills and ability to communicate across all levels in the organization
- Advanced MS-Excel skills (Pivots, Reports, advanced formulae etc), Ability to use various databases, medium level SQL querying
- Experience on working on Risk systems such as Ambit Focus, Front Arena, T24 etc
- Working knowledge of credit risk management
- Advanced knowledge in market risk, BASEL II/III, stress testing, back testing and reverse stress testing