Team Head - Market Risk

Role Overview

Team Head - Market Risk at Emirates NBD, based in Dubai, UAE. This role is part of the Group Market & Treasury Credit Risk (MTCR) function, supporting the Global Market & Treasury business and the Group MTCR function at ENBD Head Office.

Company Overview

Market & Treasury Credit Risk (MTCR) is a Group Risk function, independent of all business units. The unit focuses on identification, measurement, monitoring, reporting and overall management of market and counterparty credit risk. The unit has direct ownership and responsibility for ENBD UAE and its international branches in Singapore, London, Mumbai and KSA. Additionally, the unit provides governance oversight, assistance and consultation for market and counterparty credit risk matters to risk and business stakeholders at group subsidiary entities namely Emirates Islamic, ENBD Egypt and DenizBank.

Role Purpose

This role is responsible for enhancing and developing internal quantitative capabilities in treasury methodology, measurement, quantitative analysis, stress testing, back testing, model calibration, and model development. The position supports the Global Market & Treasury business by ensuring robust practices and expertise in market risk, counterparty credit risk, valuation, regulatory capital, and banking book risk measurement frameworks. The role demands high-level business awareness, leadership capabilities, control and good governance framework, attention to detail, strong communication skills, and advanced technical documentation writing abilities.

Key Responsibilities

Market Risk Measurement Framework for Trading Book

• Replicate, develop and document quantitative models pertaining to Market Risk Measurement Methodology Framework for all trading activities conducted by the Group.
• Ensure Market Risk Measurement Framework for Trading Activities is well defined and consists of robust and best in class risk measurement methodologies.
• Provide active oversight on effective application of the measurement framework for the trading book.
• Ensure that the measurement framework covers all key market risk aspects including Sensitivities, VaR, Stress Testing, Back Testing, and RNIV.
• Ensure that the measurement framework is appropriate and effective in identifying and measuring market risk exposures generated by the business and/or asset class that the Group transacts in.
• Ensure that the measurement framework is in compliance with and adheres to all local and other relevant regulations and standards in which the Group operates.

Counterparty Credit Risk Measurement Framework

• Ensure Counterparty Credit Risk Measurement Framework is well defined and consists of robust and best in class risk measurement methodologies.
• Replicate, develop and document quantitative models pertaining to Valuation and Counterparty Risk measurement including PFE, EPE, ENE, XVA, WWR, Haircuts/Margining, and SIMM.
• Provide oversight on effective application of Treasury Credit Risk Measurement Methodology Framework across all products, asset classes and business within Group Treasury.
• Ensure that the methodology framework is appropriate and effective in identifying and measuring counterparty credit risk exposures generated by the business and/or asset class that the Group transacts in.
• Ensure appropriateness and effectiveness of methodology framework and underlying models and parameters to the business and/or asset class.
• Ensure the methodology framework covers all key credit risk aspects and is in compliance with and adheres to local and other relevant regulation and standards in which the Group operates.
• Provide support to MTCR team in periodic methodology and/or parameters updates and its effectiveness.
• Provide adequate impact analysis and other relevant analysis to all stakeholders for concurrence prior to any significant changes to methodology and/or parameters.
• Assist with ad hoc trade and portfolio level analysis.

Valuation and Pricing Models

• Replicate, develop and document pricing models documentation and validation including assumptions review, calibration and methodology, replication and challenger models, alignment with regulatory requirements and internal policies.
• Ensure valuation models are documented, validated and aligned with market practices and regulatory requirements.
• Ensure models are based on quantitative, mathematical, financial, economic, or statistical theories that are widely accepted, relevant to valuation environment, and appropriately applied.
• Ensure periodic monitoring of models is conducted as per the frequency prescribed by Banks' internal policies and applicable regulatory guidelines.
• Evaluate current model limitations and introduce alternative pricing models where appropriate.
• Ensure Financial market product valuation using standard pricing frameworks including SDEs, local and stochastic volatility.
• Ensure Market data appropriateness and sufficiency.

Market Risk Measurement Framework for Banking Book

• Assist in development, enhancement, implementation and review of Liquidity and IRRBB Risk methodology framework, including risk assessment, metrics, ratios, assumptions, procedures and methodology.
• Ensure that the Liquidity and IRRBB Risk methodology framework covers all key market risk aspects and is in compliance with and adheres to all local and other relevant regulations and standards in which the Group operates.
• Provide active oversight on effective application of the Liquidity and IRRBB Risk methodology framework across the Group.
• Ensure that the Liquidity and IRRBB Risk methodology framework is appropriate and effective in identifying and measuring Liquidity and Price risk exposures generated by the business and/or asset class that the Group transacts in.
• Periodically review and monitor that liquidity and price risk assumptions are appropriate to the market and business operating environment.
• Support IRRBB and behavioral models including NMD, Prepayment and early termination, basis risk, EVE/NII.

Model Review and Monitoring

• Lead response to GMV, internal audit and Central Bank findings impacting models.
• Coordinate action plans and ensure prompt execution of regulatory findings.
• Coordinate with external validation vendors and provide adequate and timely support towards their requests for information and/or clarifications.
• Perform ongoing review of model assumptions and/or approximations against market and business operating environment.
• Highlight to senior management within MTCR, Finance and Treasury any breach of assumptions and/or approximations.
• Provide mitigating actions, scenarios for rectification and/or additional validation tasks if deemed necessary.
• Periodically review and monitor that inputs, outputs and/or parameters to the models are appropriate to the market and business operating environment.
• Identify conceptual soundness of the models, risks not captured by models and model limitations.
• Perform periodic back testing of all models to ensure that their inputs, outputs and/or parameters are still relevant to market and business operating environment.
• Record weaknesses identified in the models, their inputs, outputs and/or parameters.
• Suggest imposition of conditions, mitigating actions, scenarios for rectification and/or additional validation tasks if deemed necessary.
• Define and conduct stress tests and reverse stress tests where warranted of Market Risk, Traded Credit Risk, Liquidity Risk and/or IRRBB exposures.

Market Risk System, Data and Process Infrastructure

• Assist in Implementation and/or facilitate implementation of systems for Market Risk, Traded Credit Risk, Liquidity Risk, IRRBB, Treasury or other businesses across the Group as required.
• Participate in design, testing and implementation of systems and/or enhancements requiring Market Risk, Traded Credit Risk, Liquidity Risk and/or IRRBB engagement towards enhancing existing systems, processes and controls.
• Support project initiatives to meet any new or upcoming regulatory requirements.
• Identify the critical path, key milestones and plan tasks to achieve them accordingly.
• Ensure that project milestones and deadlines are met within a framework of good governance controls requirements.
• Participate in Project Working Groups and other forums as called for as a key stakeholder and to oversee the progress of implementation.
• Appraise senior management within MTCR on risks, delays and/or other issues pertaining to the Projects.
• Periodically review and appraise senior management within MTCR of any deficiencies and improvements required in systems and processes employed by Market Risk.
• Ensure robust and quality service in line with best practices.

Advice and Support on Quantitative and Methodology Matters

• Lead the research, development, and implementation of innovative modelling techniques.
• Provide specialist support or advice to MTCR management on quantitative and methodology matters for improving risk assessment and quantification.
• Assist in identification of risks in business, products and/or asset classes.
• Assist in highlighting risks in business or products and/or asset classes from Market Risk and Traded Credit Risk perspective to senior management at MTCR.
• Provide advice and guidance on methodologies, quantitative models, policies, strategies, and actions necessary for effective quantification and management of quantitative risk.
• Ensure proper controls and governance processes are maintained.
• Maintain models, perform back-testing, calibrate as needed, engage with model users and validators both internal and external.
• Engage with regulators and internal stakeholders.
• Fulfill the model challenge process.

Personal and Staff Development

• Conduct self-review and identify areas of development.
• Propose necessary actions to be taken in order to enhance expertise and contribution.
• Ensure strong