Aptivaa - Market Risk - ALM Implementation

Opportunity in Abu Dhabi / Bahrain:

This is in regards to a job opportunity we would like to discuss with you. Aptivaa Consulting Solutions Pvt. Ltd (www.aptivaa.com) is a company into risk management. Aptivaa is specialized in Risk Consulting and provides risk consulting services to different banks all across the world. We have major clients overseas specifically in Middle East, US, UK and in India too. Our business is similar to any of the Big 4’s but the advantage is that we focus on Risk and hence are able to provide our expertise to our clients.

We currently have a requirement with one of our client (bank) in Bahrain / Abu Dhabi, in the area of Market Risk – ALM Implementation with an experience of 8+ yrs for a duration of 3 months / 1 year. It’s a purely contractual position.

Purpose of the Job:

- The successful candidate will help build and manage a growing Market Risk function.

- He/she will have responsibility for the analytical analysis, risk systems required for the effective risk management of the bank. This will include oversight, analysis and communication of Market Risk at the Group level.

- A strong knowledge of VaR, Stress Testing Frameworks, Limits management, Interest Rate Risk, FX Risk, Liquidity Risk and Regulatory Risk is required.

- Experience in ALM models is desired skill and wiil be considered as a plus.

- The candidate will bring experience and skills in the area of Market Risk including risk measurements, methodologies, processes and systems implementation.

Tasks:

Risk Measurement Analytics and Methodologies:

- Support the developing/maintaining VaR Models for Fx Risk, Credit Spread Risk, Interest Rate Risk, Commodity Risk and Volatility risk in exotic derivatives.

- Support the developing/ maintaining sensitivities limits for Fx and IRR Risk for both Banking and Trading book.

Risk Model Validation:

- Set up a Back Testing Framework for the Internal Model Validation (VaR);

- Set up a framework for Market Risk Economic capital calculations and allocation to different business lines;

- Set up a Stress Framework at Group Level, taking into account both market and liquidity risk

- Validate and review the implementation of the ALM system of the bank (QRM) and related models: FTP, deposit behavioral and liquidity;

Risk Committees:

- Help in preparing reports and analysis for Group Risk Committee.

Job Knowledge, Skills & Experience:

- A higher academic qualification is expected (Bachelors plus CA/ MBA/ FRM/ CFA).

- Work experience of 7+ years in Financial Markets / Market Risk with a reputable Bank

- Strong knowledge of VaR implementation – instruments, generators, curves, market data, market conventions, etc…

- Strong Risk analytics and a good knowledge of Financial Risk Management theory and practice is required

- Well experienced with Market Risk Infrastructure

- Strong analytics and problem solving skills. Strong understanding of Market Risk / Trading systems including Bloomberg, Reuters, Murex or similar

- Experience in ALM system of the bank (QRM) and related models: FTP, deposit behavioral and liquidity (FTP and balance sheet behavioral models)

- Strong communication, presentation and writing skills

- Knowledge of Arabic is desirable, but not essential

- Experience dealing with Front Office

- Project experience working with IT on the delivery of Market Risk Systems

Nyati Dixit
Recruitment Executive
Aptivaa