Senior Officer, Market & Traded Credit Risk

Mashreq Bank

Mashreq Bank


Mashreq Bank


Remote, Pakistan

Date Posted

August 21, 2021


Banking / Financial Services Jobs in Pakistan

Job Type


Education Requirement BS in Science
Career Level Mid Level
Experience 5-8 Years
Base Salary Competitive Salary
Street address Remote


Job Purpose:

Support and work closely with the Market Risk Manager to develop and implement market risk management policies, processes and procedures.

Key Result Areas:

Implement strategies to measure, report and control market risk and counterparty credit risks emanating from Treasury related activities.
Monitor trading risk and counterparty credit risk exposures against approved limits, including investigating and reporting any excess for approval by the relevant authorities on a timely basis.
Must have knowledge on valuations of treasury products including different type of valuations reserves such as fair value reserves, credit valuation adjustments, prudent valuation adjustments etc.
Support Initiatives and projects required on the ongoing improvement of internal procedures and support the bank in transition to newer Basel norms (IRB/FRTB).
Assist in the running, analyzing and monitoring of Value at Risk and Pre-Settlement Risk Exposure (PSRE) exposure computation process.
Regular analysis of the VaR and PSRE models through back testing methodologies.
Enhance and periodically track the KPJs included in the market risk appetite framework as set by management.
Quantify market risks and calculate required capital charge as per CBUAE/Basel requirements on a periodic. Must be well versed with Basel capital charge requirements on counterparty credit risk and Credit Valuation Adjustments (CVA).
Review new products and business initiatives from a market risk perspective and contribute in departments Risk Control and Self- Assessment (RCSA) exercise.
Ensure to comply with the audit requirements, internal and external reporting obligations etc. in line with the policy guidelines, to ensure high standards of uniformity and consistency across the Bank.
Production of reliable metrics for market risk management and obtain limit excess ratification/approvals as defined in policy.
Monitoring of the investment guidelines for the Asset Management business.
Monitoring the daily EIBOR publication by the bank.
Timely production of quarterly metrics and regulatory returns such as assessment of HQLA assets, Pillar 1 reporting, ICAAP reporting, stress testing etc.
Develop Standard Operating Procedures (SOP) / process flow integrating the various workflows and metrics

Knowledge, Skills and Experience:

At least 3-5 years of experience in banking with exposure to Treasury.
At least 2+ years in market risk related functions.
Degree in Finance, banking studies or any relevant commercial discipline.
Professional Qualification would be a distinct advantage e.g. CFA /FRM.
Excellent computer skills (especially Excel, Visual Basics, SQL etc.).
Working knowledge of deal booking systems, Bloomberg, Reuters a plus.
Satisfactory understanding of latest Basel Accords and the treatment of Market Risk there under.
Strong analytical skills and knowledge on Financial Risk Management
Candidates must prove that they have knowledge of statistical and financial / economic concepts.
Team player, self-starter, innovative and highly motivated