Market Risk Manager at I&M Bank
I&M Bank is a wholly owned subsidiary of I&M Holdings Limited, a publicly quoted company at the Nairobi Securities Exchange (NSE). The bank possesses a rich heritage in banking.
REF MRM/05/2020 :MARKET RISK MANAGER
The role will support coordination and implementation of the Group’s market, liquidity and country risk management policies and processes. The role will be expected to support the identification and evaluation of market, liquidity and country risks.
The Incumbent will report to the Chief Risk Officer and will be responsible for:
- Management of the Market Risk Control function.
- Assisting in the planning and implementation of the Liquidity, country risk and market risk policies, framework and internal controls, and ensuring its compliance by the different business units;
- Participating in preparation of reports for the different Executive management and Board committees;
- Leading and managing the implementation of the Basel framework requirements and internal governance, and overseeing the regulatory submission if any;
- Leading and managing projects related to the Bank’s market risk framework;
- Assisting in the liquidity, and market risk quantification under the ICAAP process;
- Overseeing the daily capturing, monitoring, controlling and reporting of the Bank’s market and liquidity risks and ensuring these are reported accurately;
- Ensuring detailed understanding of all P&L and risk drivers and ensuring compliance levels against established risk appetite.
- Developing and implementing processes for the quality control of market data captured by the risk systems;
- Suggesting, developing and implementing measures leading to a better risk management framework and improvement of internal controls;
- Ensuring adequate limits (VaR, sensitivities, stress) and risk framework are in place aligning with the Bank’s overall risk appetite and desk mandates
- Work closely with the Front Office, Middle Office and Back Office Operations to ensure key risk issues are highlighted and addressed prior to introduction of new products.
- Identifying, monitoring and managing all market related risks across the trading desks
- Recommending market risk limits(dealer limits, exposure limits etc) in line with the approved tmarket risk appetite of the Bank
- Second line monitoring of the market risk in the trading book and conduct of the trading desks
- Gaining an understanding of the trading environment in which the different desks operate, including the trading strategies, products, markets and liquidity and discussing and challenging the hedging strategies.
- Investigating and explaining changes in the Trading Book Regulatory Capital
- Monitoring and explaining changes in derivatives margins
- Preparing monthly market risk reports for ALCO & EXCO
- Preparing quarterly reports for the Board Risk and Board Audit & Risk Committee meetings
- Monitoring Counterparty Credit Risk in the Trading book and developing basic metrics used to capture and manage it (e.g. Expected Positive Exposure, Potential Future Exposure)
- Development of comprehensive stress tests scenarios covering key market risks in the trading environment and ensuring periodic stress test market risk is done in line with regulatory requirements and for management decision purposes.
- Communication of key risks to senior management and the Board, including creation of presentations articulating key risks in an easy to understand manner.
QUALIFICATION AND COMPETENCE REQUIREMENTS
- Experience of at least 5 years in of relevant professional experience in banking and/or financial markets.
- Degree in Economics, Finance, , Mathematics, Actuarial Science or similar
- Post graduate qualifications such as CFA and MBA will be an added advantage.
- Exposure to Treasury Front Office/Back Office and General Ledger reporting systems
- Fluency in English, with excellent oral and written communication skills
- Proficiency in Excel to maintain, improve and develop reporting tools
- Good understanding of Market Risk concepts and metrics (VaR, NII, scenario analysis, risk sensitivities, etc.), and governance frameworks
- Thorough understanding of VaR, stress test methodologies and knowledge of valuation models for FX and derivatives.
- Working knowledge of techniques to measure and manage interest rate risks arising from non-trading activities (IRRBB)
- Strong knowledge of Capital Market activities and main instruments
- Ability to analyse, summarize and present data/results
- Strong quantitative, analytic and problem-solving skills
- The ideal candidate is curious, detail-oriented, self-starter and communicates easily and openly.
- Strong work ethic and commitment
- Good interpersonal communication skills and ability to work as a team
- Strong leadership and coaching skills
- Flexible approach
- Able to demonstrate a personal commitment to taking ownership and following up
- Professional designation in CPA or ACCA will be viewed favourably
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