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Market Risk / Quant Professional, Banking, Riyadh – KSA – Sthree UAE

Principal Accountabilities

1. Oversee the bank’s Internal Model Approach (IMA) process including compliance, application to regulator to use the approach and iits overall functioning thereafter.

2. Manage and develop the Value at Risk System for the Bank (Both local and international business).

3. Manage and develop the Value at Risk System for the Investment business.

4. Manage the daily and periodic reporting processes supporting the value at risk exposure monitoring systems.

5. Manage the daily back testing processes to ensure the Value at Risk Model is operating to the standards required by Basle.

6. Manage and develop the Bank’s stress testing scenarios enabling the risk assessment of extreme market events.

7. Manage the adherence to market risk policy and procedures and documentation to support the governance of market risk model.

8. Improve on the Bank’s quantitative modeling framework

9. Manage and develop the Bank’s market revaluation processes, ensuring independence, consistency and industry best practice.

10. Review and implement regulatory requirements as they affect the determination of market risk.

11. Assist the Treasury and Investments areas to develop risk measures (especially with regards to VaR) necessary for the implementation of new products and current business.

12. Assist in the general management of Market Risk in the bank.

Desired Skills & Experience


Quantitative modeling skills, advanced spreadsheet skills, mathematical finance skills, good report writing and policy development skills. Familiarity with the VaR concept, Internal Model Approach for market risk measurement and Basel 2 and 3 rules is essential.

Language: English

Qualification/Experience: Numerate degree in finance or similar

Visit the Huxley Associates website to find out more.

Job Details

Date Posted: 2013-03-26
Job Location: Riyadh, Saudi Arabia
Job Role: Other
Company Industry: Banking

Preferred Candidate

Career Level: Mid Career
Gender: Male

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