Senior Manager - Market Risk Models

The Market Risk function within the Risk Management Department's mandate is to monitor, report, and model Market risk and all related quantitative models including PRRBB, PFE, VaR, XVA, and pricing models. The Senior Manager is expected to add value by leading the development, enhancement, and maintenance of advanced Risk Models, while recommending improvements to the risk management framework through a combination of strong quantitative capabilities, IT proficiency, and robust market risk management techniques. This role requires ensuring compliance with international regulatory standards such as Basel, as well as local regulatory frameworks, while promoting best practices across the risk function.

Responsibilities

• Leveraging a robust quantitative background and deep regulatory insight to deliver high-value analytical contributions that support strategic decision-making.
• Leading the development, validation, and implementation of advanced models for value-at-risk (VAR), PFE, XVA, stress testing, and asset-liability management (ALM).
• Overseeing complex data analysis, back testing, and scenario design to assess the performance and accuracy of the models.
• Driving cross-functional collaboration with trading, finance, and IT teams to integrate models into the risk management framework.
• Enhancing market liquidity and counterparty credit risk frameworks, including liquidity-adjusted VAR and potential future exposure (PFE).

Requirements

• Master’s or PhD degree in quantitative finance, mathematics, statistics, physics, engineering, or a related field.
• At least 10 years of experience in market risk modelling or a similar role in a financial institution or consultancy firm.
• Strong knowledge of market risk concepts, measures, and regulations such as VAR, stress testing, and Basel III.
• Proficient in programming languages such as Python, R, MATLAB, C++, and familiar with databases and data analysis tools.
• Excellent analytical, problem-solving, and communication skills with attention to detail.