Market Risk & Liquidity Risk Manager (m/f) June 2, 2017
Purpose of the position
Identify, assess, analyse, monitor and advise on mitigation measures with respect to market risk, liquidity risk, and operational risk inherent to the bank’s activities as well as monitoring compliance of discretionary managed client portfolios within approved limits
Primary duties & Responsibilities
- Identification of market and liquidity risks inherent in all bank’s activities; assessment of these risks and measurement of the bank’s exposure to them;
- Ongoing monitoring of the risk-taking activities as well as market risk and liquidity risk exposures to ensure they are in line with the approved risk appetite, risk limits, and regulations; reporting the results to the Chief Risk Officer and ALCO;
- Establishing an early warning system for breaches of the bank’s market risk and liquidity risk appetite or limits; translating trends, news, and developments into proposals for action;
- Advising on risk mitigation strategies and transactions when deemed necessary;
- Supporting the Chief Risk Officer in implementation, review, and approval of the relevant risk-governance framework;
- Validation of models used by Finance, Management Reporting, and Regulatory Reporting for regulatory reporting on market risk and liquidity risk;
- Developing risk management procedures, measurement techniques/models and reporting tools for operational risk; monitoring compliance with thresholds, ensuring timely notification of limit(s) breach to the Chief Risk Officer, carrying out analysis when thresholds are exceeded, and producing periodical reports;
- Monitoring compliance of discretionary managed client portfolios with limits, ensuring timely notification of limit(s) breach to the Investment Committee.
Secondary Duties & Responsibilities
- Preparation of quarterly operational risk dashboard for the Chief Risk Officer;
- Daily check of compliance of discretionary managed client portfolios with portfolio limits set;
- Providing Accounting with market data for balancesheet revaluation (e.g. yield curves, illiquid bond
- Periodical review of regulatory ratios calculus (and respective models used) by Regulatory Reporting;
- Maintain up to date knowledge and understanding of market risk, liquidity risk, and operational risk standards and applying these standards within the bank;
- Maintenance (and enhancement) of market risk, liquidity risk, and operational risk models;
- Maintenance (and development of) stress-test scenarios for market risk, liquidity risk, and operational risk;
- Maintenance (and development of) valuation models, in particular for derivatives (market value, potential exposure, CVA) and, potentially, for illiquid bonds.