Market Risk​/Treasury - Manager

Practice: Financial Risk Consulting

Minimum Experience: 5 years

We are seeking an experienced quantitative risk professional to bridge the gap between our strong bench of highly technical junior quant analysts and senior leadership. This role combines deep technical credibility in market risk, treasury, and derivatives pricing with the interpersonal skill to mentor, manage, and develop junior team members, while maintaining excellent client relationships and firm-standard delivery discipline. The successful candidate will effectively act as a "player-coach" — hands‑on enough to validate complex models personally, but equally comfortable leading teams, managing client expectations, and embedding day‑to‑day consulting protocols and quality standards.

• Lead and review model validation engagements covering derivative pricing models and XVA (CVA/DVA/FVA/MVA) frameworks, ensuring soundness, governance, and regulatory compliance.
• Oversee ALM and treasury work streams, including ILAAP, ICAAP, and funds transfer pricing (FTP) curve construction and validation.
• Design, build, or validate bespoke financial quantitative models tailored to client‑specific requirements.
• Manage, coach, and develop junior quantitative analysts — reviewing their technical work, providing structured feedback, and supporting their professional growth.
• Act as day‑to‑day engagement manager, overseeing workstream planning, resourcing, and task allocation across the quant consulting team.
• Act as a primary point of contact for clients, translating technical findings into clear, actionable business communication.
• Ensure engagements adhere to internal delivery protocols, quality standards, and reporting timelines.
• Support proposal development, scoping, and business development activities as required.
• Contribute to performance management processes for junior staff, including reviews, goal‑setting, and career development plans.
• Produce high‑quality client deliverables, including validation reports, model documentation, and presentation materials.

• Degree in Mathematics, Physics, Computer Science, or Engineering (or closely related quantitative discipline).
• Demonstrable strength in derivative pricing (rates, FX, credit, equity, or commodities).
• Highly proficient coder in at least one of:
  Python, VBA, Java, C++, or C#.
• Self‑motivated, independent worker who requires minimal day‑to‑day guidance and can own deliverables end‑to‑end.

ILAAP, ICAAP, FTP curve construction and validation, liquidity risk frameworks (LCR, NSFR)

Custom pricing tools, calibration engines, Monte Carlo / analytical frameworks for exotic or structured products

• Familiarity with regulatory regimes relevant to Saudi (SAMA) and Bahraini (CBB) banking supervision.
• Experience with vendor systems such as Murex, ICE, or Open Risk Engine (ORE).
• Prior consulting experience, particularly client‑facing engagement delivery within a Big 4 or specialist risk advisory environment.
• People management experience, including performance reviews, coaching, and career development of junior staff.