Manager Market Risk

Minimum Education :

Bachelors (preferably in Risk Management / Actuarial Sciences or related field) 3 – 5 years of relevant banking experience Experience in Market Risk, Basel III, IFRS 9 / IAS 39 / Credit Risk Modeling System Understanding of SBP reporting formats and proficiency in use of DAP portal Experience and ability to code in VBA programming language Key Responsibilities : Conduct review of audit entities as team member / leader to provide reasonable assurance Independently monitor the business’ compliance with the independent limit / trigger framework Agree upon corrective actions for limit excesses in conjunction with business management Ensure that reports are in compliance with statutory policies and procedures Monitor limit excesses on an ongoing basis to ensure corrective action is carried out Prepare projected liquidity MAR and Stress Scenarios Prepare Maturity and Interest Rate Gap reports Prepare Basel III CAR & liquidity ratios i.e. Liquidity Coverage Ratio (LCR) and Net Stable Funding (NSFR) ratio and ICAAP Assist in implementing the quarterly IFRS9 Expected Credit Loss calculation, modeling and reporting processes Assist the team in enhancing the development of IFRS 9 models including re-calibration of PD, LGD, macroeconomic scenarios Specify the mathematical techniques and underlying assumptions on which the volatility and correlation calculations are based; construct, update and maintain the volatility and correlation calculations on an on-going basis; determine the frequency of updates to the data Establish the statistical techniques and assumptions used for VaR calculations; define the parameters used in the statistical simulation of market risk measurements for internal risk monitoring purposes as well as for external, regulatory reporting purposes Prepare Market risk pack for IRMC, ALCO and BRC Prepare standard corporate ALCO approved ratios Applicants must clearly mention the title of the position in the e-mail subject line. We are an equal opportunity employer. Female candidates and differently-abled candidates are encouraged to apply. Samba Bank reserves the right to accept or decline any application.

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