Group Head of Market & Liquidity Risk
- Manama, Capital Governorate, Bahrain
- Permanent, Full time
- 11 Aug 17
Lead an independent Treasury & Financial Markets Risk team, providing analysis and insight, giving assurance to the bank’s senior management that all risks are being measured accurately and managed/controlled in line with risk appetite, meeting both internal and regulatory requirements. The T&FMR unit is composed of 4 verticals: Market Risk Management, Product Control, Liquidity Risk Reporting and Middle Office.
Principal Responsibilities, Accountabilities and Deliverables of Role:
- Lead an independent Treasury & Financial Markets Risk team, providing analysis and insight on all Treasury activities and Bank’s overall liquidity risks. Providing assurance to the bank’s senior management that all risks are being measured accurately and managed/controlled in line with risk appetite, meeting both internal and regulatory requirements. The T&FMR unit is composed of 4 distinct verticals: Market Risk Management, Product Control, Liquidity Risk Management and Middle Office.
- Managing a staff of 8 risk and middle office professionals.
- Strategic risk decision making at all required levels related to Group Treasury Trading & Investments, Hedging Strategy, P&L Analysis / Performance Attribution, Independent Valuations & Price Verification for Treasury Assets, Liquidity Risk Reporting and Middle Office activities.
- Actively participate and contribute to all required committees & meetings ensuring Treasury Risk view represented in a clear and transparent manner
- Be the lead interface with the key stakeholders – Treasury, GBSM & Finance- to formulate the unit’s strategy and identify and deliver on their requirements across each of the 4 verticals. This will include (but not limited to) the following:
- Market Risk Management: Management and monitoring of all market risks and associated limits, risk review of all investment proposals and strategy, model validation, Market Risk Reports for Investment Committees and GALCO
- Product Control: P&L Attribution, Resolution of Actual & Explained P&L, Valuation / Price Validation, Internal Trade Monitoring, Hedge Accounting/Effectiveness Testing, Valuation Reports for Investment Committees and GALCO
- Liquidity Risk Monitoring and Reporting: Internal Liquidity Reporting and Monitoring, Group Level Liquidity Dashboards (covering liquidity risk metrics per GRAS), Regulatory Reporting, Liquidity Stress Testing, ALM Balance Sheet Modeling including customer behavioural analysis and back testing, Liquidity Reports for Liquidity Sub-committees and GALCO. Review and monitor cost of funds across different tenors and assist GBSM in the validation of FTP rates.
- Middle Office: market / static data integrity in FO systems, revaluations and collateral management for derivatives transactions / CSAs, yield curve validation, trade surveillance
- Develop any new risk monitoring policies / procedures as required for new transactions or other changes to the business.
- Implement QRM to enable Balance Sheet and Liquidity forecasting including regulatory liquidity ratios forecasting in collaboration with Finance
- Monitor key liquidity metrics across the Group and update the relevant Committees
- Daily monitor liquidity early warning indicators and ensure escalation as required by the GCFP
- Lead the implementation of stress testing as required by regulatory bodies and agreed in group wide policy
- Liaise with other Treasury functions to determine possible synergies and streamlining of overall Treasury function.
- Ensure market best practice standards are applied to all disciplines within the Treasury Risk team.
- Member of the Investment Committee, Liquidity Sub-committee and Structural FX Committee. Invitee to the Group ALCO.
- Leadership and team development.
Knowledge of Market Risk / Middle Office and Treasury products, concepts, and software applications. Advanced skills in Market & Liquidity Risk Management software and Excel. Advanced communication skills.
Education / Certifications
Postgraduate in numerate subject e.g. Mathematics, Finance
15+ years of experience in Market Risk Management, Global Capital Markets and Asset / Liability Risk Management