Head of Risk – (UAE National)

Job Details

Job Profile:

The role supports the GCRO in oversight of Liquidity Risk, Profit Rate Risk, Market Risk and Capital Management. In addition, the role is also required to supervise the Data Governance function.

Job Responsibility:

• Ensure establishment and maintenance of appropriate risk framework, policies, processes, methods and models to effectively manage, identify, measure and report liquidity risk, profit rate risk in the trading and banking book, credit spread risk in the banking book, capital adequacy ratios on BAU and stressed bases
• Specific to liquidity risk, oversee –
  • the historical data analyses for building and regular review of appropriate behavioral models for maturity profiling
  • The ongoing measurement and reporting of funding gaps on stressed bases under different systemic and idiosyncratic scenarios, development and reporting of early warning signals
  • Identification of concentrations (funding and market related), measurement, assessment and reporting
  • All elements of Internal Liquidity Adequacy Assessment Process (ILAAP) ensuring full compliance with regulatory ratios (LCR, NSFR, liquidity monitoring standards )
  • Development and maintenance of liquidity contingency plans
  • Recommendations on prudent liquidity risk management on a tactical and strategic bases taking into consideration strategic objectives
• Specific to profit rate risk, oversee –
  • Distinction between profit rate risk in the trading and those in the banking book
  • Identification of credit spread risk in the banking book (CSRBB) within PRRBB
  • The historical analyses for building and regular review of behavioral models for repricing profiles with specific focus on assets and liabilities without specific maturity
  • Identification, measurement and reporting to profit rate risk in line with regulatory standards
  • Recommendations on prudent profit rate risk management on a tactical and strategic bases taking into consideration strategic objectives
• Specific to market risk, oversee –
  • Ongoing measurement of market risk positions on notional and VaR/SVaR as well as understanding of Greeks, where applicable
  • Ongoing measurement of counterparty credit risk from derivatives, CVA/DVA
  • Implementation of regulatory requirements including FRTB
  • The dynamic management of limits and stop loss tolerance levels
• Specific to capital management and assessment, oversee –
  • The ongoing measurement and management of pillar 1 capital ratios
  • The ongoing measurement and management of all pillar 2 risks and capital ratios
  • Development and maintenance of quantitative and qualitative models on pillar 2 risk not limited to concentration risk, residual credit, market and operational risks, strategic risk, models’ risk, conduct risk, cyber security risk, fraud risk, profit rate risk in the banking book,
  • Development and maintenance of capital stress testing models covering various macro and idiosyncratic scenarios
  • Recommendations on capital ratios, ongoing management and optimization
  • In general, compliance with Internal Capital Adequacy Assessment Process (ICAAP) standards as per regulations and Basel requirements