The function is responsible for the independent oversight, monitoring, and reporting of market risk, liquidity risk, interest rate risk in the banking book (IRRBB) and ALM Risk Management across the banking group's entities. The function will play a critical role in shaping the Group's integrated balance sheet risk framework, ensuring regulatory compliance, and providing deep analytical insights to senior management.
Accountabilities and Key Roles:
Group-Wide Risk Framework & Governance
- Assist the Head in the development, enhancement, and implementation of the Group's integrated Market, Liquidity, and ALM Risk Management Frameworks, including policies, procedures, and controls.
- Ensure the consistent application of the risk framework across group entities (branches and subsidiaries) within the function mandate, taking into account local regulatory adaptations.
- Prepare and present risk reports and analysis for senior management, including the High Asset-Liability Committee (HALCO), Group Risk Committee, and the Board.
- Serve as the central subject matter expert for market, liquidity, and IRRBB.
- Review the entities portfolios, business practices, risk data and reporting on regular basis, in collaboration with ALM treasury team through onsite visits.
Asset Liability Management (ALM) & IRRBB:
- Provide independent oversight of the structural balance sheet management, focusing on Interest Rate Risk in the Banking Book (IRRBB).
- Monitor, analyze, and report on key IRRBB metrics (e.g., Earnings at Risk (EaR), Economic Value of Equity (EVE), NII sensitivity) and ensure compliance with internal and regulatory limits.
- Oversee the Funds Transfer Pricing (FTP) framework in partnership with Finance and Treasury, ensuring it accurately reflects liquidity and interest rate risks.
- Analyze the impact of business strategies (e.g., product pricing, growth plans) on the structural balance sheet and net interest income.
- Analyze the impact of behavioral assumptions in IRRBB and ALM models.
- Develop ILAAP and all related matters related to ICAAP.
Market Risk Management:
- Oversee the measurement, monitoring, and reporting of market risk exposures (e.g., VaR, Stressed VaR, Sensitivities) for trading and non-trading books.
- Analyze and challenge the business units' trading strategies, new product initiatives, and limit utilization.
- Validate and back-test market risk models, ensuring their accuracy and relevance.
Liquidity Risk Management:
- Oversee the Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), and other internal liquidity metrics.
- Monitor and analyze significant liquidity risk drivers, including concentration risk, funding mismatches, and intra-group funding flows.
- Review and stress test the Contingency Funding Plan (CFP) and its integration with ALM strategy.
- Analyze the impact of behavioral assumptions in liquidity and ALM models.
Regulatory Compliance & Engagement:
- Stay abreast of evolving global and local regulatory requirements (e.g., Basel III/IV, IRRBB standards, ICAAP, ILAAP) and ensure the bank's practices remain compliant.
- Lead or contribute to regulatory submissions and inquiries related to market risk, liquidity risk, and IRRBB.
- Interface with internal and external auditors as well as regulators during examinations.
Risk Culture & Leadership:
- Mentor and guide junior risk team members, fostering a culture of continuous learning and excellence.
- Lead or participate in special projects, such as ALM system implementations, model developments, and strategic balance sheet initiatives.
Job Requirements:
Education:
- Bachelor’s degree in finance, Economics, Mathematics, Engineering, or any related field from a recognized university.
- Master's degree is preferred.
Experience:
- Minimum of 8-10 years of progressive experience in a combined market risk, liquidity risk, and ALM/IRRBB function within a major banking or financial institution.
Competencies:
Technical:
- Proven experience working in a group or regional function with oversight responsibilities across multiple legal entities (branches and subsidiaries).
- Deep technical knowledge of:
1) ALM/IRRBB: Earnings at Risk (EaR), Economic Value of Equity (EVE), Funds Transfer Pricing (FTP), behavioral modeling of non-maturity deposits.
2) Market Risk: VaR, Stress Testing, Sensitivities.
3) Liquidity Risk: LCR, NSFR, Liquidity Stress Testing.
- Strong understanding of banking book products (loans, deposits) and financial markets products (derivatives, fixed income).
- Experience in preparing and presenting reports to senior management and committees, particularly ALCO.
- Professional certifications such as FRM (Financial Risk Manager) or CFA (Chartered Financial Analyst).
- Direct experience with the Internal Capital Adequacy Assessment Process (ICAAP) and Internal Liquidity Adequacy Assessment Process (ILAAP).
- Experience in model validation or quantitative development.
Personal:
- Strategic Thinker: Ability to see the "big picture" and understand the interconnectedness of balance sheet risks across the bank.
- Excellent Communication: Superior written and verbal communication skills, with the ability to explain complex risk concepts clearly and concisely to non-technical stakeholders.
- Strong Analytical & Problem-Solving Skills: A keen eye for detail and a passion for data-driven analysis of the structural balance sheet.
- Leadership & Influence: A natural leader who can influence peers and senior stakeholders in Treasury, Finance, and the business units without direct authority.
- Proactive & Self-Motivated: Takes initiative and drives projects to completion in a dynamic environment.
