Head Market Liquidity Risk

JOB PURPOSE

Market & Liquidity Risk Management has the responsibility of overseeing the risk of losses that may accrue as a result of changes in interest rate foreign exchange and liquidity risk. It is directly related to activities including but not limited to Forex interest rate and liquidity positions volatilities and mark to market price levels and their changes. Additional responsibilities include setting controls providing structure and ensuring accurate risk reporting for senior management. The Market & Liquidity Risk Head also has the responsibility for maintaining the trading counterparty database which includes outstanding trade data counterparty exposure metrics market related

pricing and volatility calculations.

KEY RESULT AREAS

Lead the development and implementation of ALM Liquidity and market risk measurement tools systems processes and reporting.

Liaise for the effective Liquidity Risk Capital & Contingent Risk Planning. Support management & develop processes and methods to feed into Risk Strategy development and ensure alignment to the overall Business Strategy

Formulate advice to the senior management & board on the current risk exposures of the bank and future risk strategy including strategy for market and liquidity risk management with due consideration to the current and prospective macroeconomic and financial environment.

Work as a key resource to the Director of Enterprise Risk assisting with the management of the market & liquidity risk control function in the pursuit of its targets

Review and oversee the implementation of market risk policies market risk management framework and internal controls and ensure its compliance by the different business units

Lead and manage the implementation of the new IRRBB framework requirements and internal governance

Managing VAR and ES tool.

Oversee the capital risk quantification under the ICAAP process in areas such as market risk IRRBB liquidity risk

Oversee the implementation of the Fundamental Review of the Trading Book framework

Oversee the market risk capital requirements calculation process under current regulatory frameworks

Oversee the daily capture monitor control and reporting of the Bank s market risk and ensure these are reported accurately

Develop and implement measures leading to a better risk management framework and improvement of internal controls

Respond to ad hoc requests from the business risk management or regulators

Coordinate with other unit functions as well as other relevant departments to develop and implement risk policies and processes benchmarked with best industry practice and in line with regulatory requirements.

Provide insights to ALCO on matters around market and liquidity risk

Oversee the management of capital allocation and performance framework of the bank. Staff Management

Assist in conducting / attending inhouse training for staff on market risk

management practices

Participate in selected training programs

Assist in the implementation of the market risk strategy in the Bank as directed by the Board.

Embed a market risk culture Bank wide to promote transparency and accountability for inherent risk and controls.

Promote best practices for control with the business and support areas Identify manage strengthen and alert management on all key residual risks and controls

KNOWLEDGE SKILLS & EXPERIENCE REQUIRED

Ten (10) years or more experience in the financial services sector with specific focus in treasury function

Degree in Economics Finance Management Mathematics or similar disciplines

Master s degree preferably in finance economics &/or quantitative subjects will be an added advantage

Fluency in English with excellent oral and written communication skills

Proficiency in Excel to maintain improve and develop reporting tools

Knowledge of the Basel framework

Indepth understanding of risk methodologies interest rate modelling VAR and/or other complex financial risk modelling and governance frameworks.

Strong knowledge of Capital Market activities and main instruments

Ability to manipulate analyze summarize and present data/results

Strong quantitative analytic and problemsolving skills

Curious detailoriented selfstarter and communicates easily and openly.

Strong work ethic and commitment

Good interpersonal communication skills and ability to work as a team

Strong leadership and coaching skills

Able to demonstrate a personal commitment to taking ownership and following

up

Relevant ACI certification and membership will be an added advantage

Professional designation in GARP will be an added advantage