Market Risk Consultant

Position:
Market Risk Consultant

Domain:
Consulting Client:
Banking / Financial Services

Location:

Abu Dhabi

Contract Period: 6 months, extendable by another 6 months

Joining:
Immediate / Short notice

• Support the implementation and enhancement of Market Risk and Liquidity Risk frameworks.
• Monitor market risk exposures and limits and prepare periodic risk reports.
• Perform and review VaR, Stressed VaR, EVE/EaR and market-risk capital calculations.
• Support IRRBB, stress testing, risk appetite and ICAAP activities.
• Support the development and enhancement of market risk policies, procedures and monitoring frameworks.

• Monitor market risk exposures against approved limits and risk appetite.
• Support VaR and Stressed VaR calculations, analysis and reporting.
• Perform/support EVE and EaR calculations and IRRBB assessments.
• Assist in market-risk capital requirement calculations and regulatory reporting.
• Develop and maintain market risk MIS, dashboards, KRIs and management reports.
• Support market and liquidity risk stress testing and scenario analysis.
• Review market risk policies, procedures, methodologies and risk limits.
• Assist in identifying gaps in market risk management frameworks and recommend remediation actions.
• Support ICAAP, risk appetite and regulatory requirements related to market risk.
• Coordinate with relevant business and risk teams for data, analysis and reporting requirements.
• Maintain trackers for risk limits, exposures, stress testing, regulatory requirements and remediation activities.

Work Location:

In person

Experience:

Minimum 5 years of experience in Market Risk / Financial Risk Management.