Market Risk Manager

JOB PURPOSEKey member of Bank's Risk team providing support to the Chief Risk Officer and Head of Prudential Risk with responsibility for ensuring that Market Risk Appetite is appropriate and complied with.Ensures that Market Risk tools in the Bank are fit-for-purpose and provides expert input on all Market Risk issues to the CRO, Head of Prudential Risk and other stakeholders.KEY RESULT AREAS or ACCOUNTABILITIESOversightAssist in the design of the processes necessary to allow those responsible for primary risk monitoring and management (Line 1) to calculate key performance indicators (KPIs) in accordance with the risk appetite and risk policies approved by the Board of Directors of EAB (the Board). This will include:o Reviewing or defining the methodologies to be followed in calculating KPIs,o Reviewing or defining the standards to be used in calculating KPIs,o Reviewing or defining the processes and internal controls over these processes to be used in calculating these KPIs ando Defining stress tests of these KPIs and ensuring these are treated in the same manner as primary KPIs.Assist in the design of reports for the publication of KPIs in an appropriate format.Review limit monitoring carried out by Line 1 to ensure that this process functions effectively.Ensure that logs of risk excesses are maintained by Line 1 personnel.Analyse market risk reports and data to identify:i. Trends and significant changes in market risks, ii. Concentrations of market risk and iii. Deviations from expected trends or results.Escalate limit excesses to the CRO and appropriate committees.Provide the results of risk analyses to the CRO and appropriate committees.Review and maintain appropriate policy documents.Maintain Risk’s own RCSAs and perform testing of controls.Assist in risk system implementation and challenge. ChallengeReview the list of material risks to ensure that this is complete and accurate with regards to market risk. Periodically review P&L and balance sheet to ensure that market risk KPIs remain appropriate.Review reports produced by Line 1 to ensure that limits have been observed and that excesses have been escalated appropriately. Review and assess limit excess reports produced by Line 1 personnel and analyse the causes provided for excesses to ensure that these are complete. Discuss limit excesses with Line 1 personnel and ensure excess reports reflect risk control assessments and comments. Discuss trends, changes and concentrations in risks with Line 1 personnel as well as proposed business actions that may have an effect on these results. Review stress testing assumptions and parameters and ensure management action on results.Provide detailed model review and validation support to the Risk team. (IFRS 9 experience preferable but not essential)CoordinationHelp the CRO and ALCO to set Market Risk appetite.Support Line 1 with new product implementation.Liaise with other departments to keep informed of business developments that may have an impact on market risk. Review internal, industry and regulatory publications. Provide commentary, analysis and recommendations to the CRO, ALCO and other stakeholders. Assist with embedding of risk management processes and controls relevant to market and liquidity risk.Liaise with Internal Audit and the external auditors on audits and regarding completion of audit actions.Provide advisory support and consultation to relevant stakeholders regarding market risk testing of new products & new strategies. Alignment of tools with AB Global approaches.Together with the CRO, the Head of Prudential Risk and the rest of the Risk team, support the ongoing implementation and development of all Risk deliverables such as:Development of MI. New risk systems implementation / upgrades.Maintenance of Risk policies and documents such as the Risk Framework, Market Risk Policy, Trading Book Policy, ICAAP and ILAAP. Reports for ALCO, ERCC and BARC.Papers on topical risk issues as required by the CRO.Support the CRO in addressing ad hoc risk issues as they arise and in managing relationships with risk and other committees.KNOWLEDGE, SKILLS, COMPETENCIES AND EXPERIENCE• Understanding of market risk (industry practice and applicable regulation) and fundamental understanding of financial markets. • Highly Numerate• Demonstrate competence in model building and model validation• Advanced knowledge and practical experience of using Bloomberg and advanced Excel application• Understanding of stress testing and economic models• Understanding of EAB’s systems data modelKNOWLEDGE, SKILLS, COMPETENCIES AND EXPERIENCEUnderstanding of market risk (industry practice and applicable regulation) and fundamental understanding of financial markets. Highly NumerateDemonstrate competence in model building and model validationAdvanced knowledge and practical experience of using Bloomberg and advanced Excel applicationUnderstanding of stress testing and economic models