Head of Treasury Risk

The Role
Operating in the UAE for over 50 years, CBD manages the financial requirements of some of the largest corporates and businesses operating in the country, driving the UAE economy. Over the years, CBD has transformed into a progressive and modern banking institution winning multiple awards for its digital initiatives, credit cards, bank accounts, mobile app features, and services. CBD has been recognized as the number one bank in the UAE on the Forbes list of The World's Best Banks 2022. As we continue to build upon our successes, we are looking for ambitious individuals who are passionate about the banking and finance industry and the markets in which CBD operates. Just as important to us is your ability to demonstrate a talent for dealing with people - your colleagues and our customers - and delivering service that really goes the extra mile.

Job Purpose
Responsible for managing the Market Risk Management function, aiming at adherence with regulatory norms, prompt and accurate identification, quantification, and analysis of on and off-balance sheet market risks and counterparty credit risks. This includes developing, implementing, and optimizing models, policies, procedures, and controls required to enable risk to be managed within appetite and prevent unexpected loss to the Bank.

Principle Accountabilities

1. Ensuring appropriate derivatives portfolio valuation and reporting including overseeing the customer derivatives portfolio valuation and distributing to customers on a monthly basis.
2. Responsible for implementation of all Market and counterparty credit risk metrics such as VaR covering all asset classes, sensitivities (DV01 and CS01), and PFE calculation.
3. Use, development, and maintenance of models including back testing of XVA, IRRBB, market risk, and counterparty credit risk models to ensure their accuracy and reliability.
4. Perform stress testing and scenario analysis for the investment portfolio and trading portfolio.
5. Independent price verification covering bonds, FX, and interest rate products and calculation of valuation adjustments for illiquid positions.
6. Responsible for market, IRRBB, and liquidity risk calculation and reporting to Senior Management (ALCO) as per set frequency including actual and appropriate stress scenarios.
7. Review, validate, and identify risk factors for new treasury products from a market and counterparty credit risk perspective.
8. Provide guidance and challenge to Treasury on its strategy in terms of risk-taking, by utilizing appropriate materials including stress testing and sensitivity analysis.
9. Responsible for the implementation of market (including IRRBB) and counterparty risk-related regulatory requirements & recommendations determined by the Central Bank of United Arab Emirates.
10. Effect the timely remediation of observations emanating from: internal audit, regulatory & compliance requirements, or other mandated bodies.
11. Maintain and develop market, counterparty, and IRRBB capital models.
12. Deliver regular risk analysis, evaluation, and recommendations to ALCO on market, counterparty, and liquidity risk profile of the bank.
13. Maintain policies covering Market and other risks run by Treasury including IRRBB, Counterparty Risk as well as documentation and procedures for all Market Risk activities and models.
14. Ensure the provision of guidance and training to establish a good understanding of market risk models and processes for team members and other relevant users.
15. The jobholder is responsible for ensuring an efficient and effective Market, IRRBB, and Counterparty Risk Framework for the CRO, Treasurer, and ALCO.

Requirements

Experience and Qualifications
- A minimum of 10 years relevant and progressive experience in a Senior Risk Management capacity within leading local or international financial institutions.
- Comprehensive understanding of Treasury products from a pricing, market, and counterparty risk point of view and good understanding of relevant documentation and operational processes.
- Masters in Financial or analytical/quantitative discipline preferred.
- Professional certification such as PRM, CPA, and CFA etc. is an added advantage.

Skills
- Good command of English.
- Ability to influence and counsel both upwards and downwards within the organization.
- Decision-making and judgmental skills.
- High degree of analytical skills.
- Planning and organizing skills.
- Presentation skills.
- Sound commercial judgement and problem-solving ability.