- Work as a key resource to the Manager of Market & Liquidity Risk, assisting with the management of the market & liquidity risk control function in the pursuit of its targets
- Ensure that methodology and assumptions used for liquidity risk measurement are in line with regulatory and the market risk policy, and documented appropriately including liquidity risk policies and procedures.
- Prepare the monthly market risk weighted assets reports for Capital Requirement Directive (CRD) report.
- Running and evaluating results of stress tests and scenario analysis.
- Periodic review of stress test and scenario analysis underlying assumptions
- Responsible for liquidity and interest rate risk related works including providing data/analysis on key risk indicators for ALCO and Treasury reports.
- Review and setting of trading limits for FX, FI and ALM limits for onshore and offshore counterparties.
- Advising the various business units on estimated available capital for interest bearing assets based on the monthly Capital Adequacy Ratio (CAR)
- Perform ad-hoc risk analysis for ALCO, Treasury and the Regulator
- Build relationships with the front office and support functions. Communicate risks, exceptions and at times challenge assumptions.
- Perform a proactive middle office function between Treasury and Treasury Operations, monitoring adherence to risk limits set for;
- Dealers
- Counterparties and
- Products
- Assist in the quantification of Market Risk for Trading book and Banking book (VAR, ES, PV01 & Mark-to-Market computations and analysis)
- Assist in the market & liquidity risk quantification under the ICAAP process
- Assist in ongoing monitoring of counterparties on both trading activity and financial statement analysis.
- Review and report on Term Deposits and other Purchased/ Wholesale funds to determine the degree of reliance on such funds to management.
- To fulfill any additional/ ad hoc studies on specific risk issues to meet the needs of the business
- Build and maintain strong relationships with business management, business support heads and other areas of risk management Bank wide.
- Prepare the capital allocation and performance report of the bank.
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