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Senior Manager - Market Risk

Senior Manager - Market Risk

Job Title: Senior Manager - Market Risk
Contract Type: Permanent
Location: Malta
Industry:
Salary: Attractive
Reference: 2786
Contact Name: Mark Sims
Job Published: August 30, 2017 09:14

Job Description

A leading financial institution is seeking a Senior Manager  (Market Risk) to work within their Risk Management team. This person will be leading the market risk programme across the Group and will be  reporting directly to the Group Chief Risk Officer.  

The selected candidate requires a deep understanding of market risk, particularly interest rate risk in the banking book (IRRBB), foreign exchange (FX) risk and risks associated with balance sheet management, along with the key economic drivers of market risk.

Responsibilities will include: 

  • Good knowledge of Asset and Liability Management (ALM), including the use of derivatives and the development and monitoring of hedging strategies.
  • Leading the ongoing development of market risk models to support IRRBB and FX risk management, including model design, calibration and validation; stress testing; back-testing; usage; reporting; and model governance
  • Providing quantitative modelling insights for both Risk and other Group functions, such as Treasury and Finance
  • Leading the development of stress testing methodologies and model assumptions
  • Owning the respective risk management policies relating to market risk and consolidating market risk reporting requirements, including additional sensitivity measures

The ideal candidate will have: 

  •  Bachelor’s degree in banking, finance, mathematics, statistics, or a related area
  •  A Minimum 5-years of experience in market risk management, including quantitative modelling
  • Good knowledge of market risk, specifically in interest rate risk management, FX risk, and stress testing in a financial institution
  • Experience of stress testing assumptions and modelling stressed scenario analysis
  • Knowledge of sensitivity analysis and Value-at-Risk
  • Good knowledge of financial products is essential, including an understanding of risk management concepts

For more information kindly contact Mark on finance@castilleresources.com