Market Risk Associate Director

Description

BACB is a UK bank that offers trade finance and investment expertise to clients in specialist markets, especially Africa and the Middle East

We have been helping businesses with trade finance and complementary products for over half a century, focusing on trade flows to and from Africa and the Middle East as well as real estate in the UK.

Our in-depth knowledge of the countries and practices where our clients operate ensures that we put them first.

Additional Info

• Hybrid Working: 3 days onsite, 2 from home
• Location: City of London
• Contract Type: Permanent

Job Summary

We are seeking a highly skilled and experienced Associate Director level professional to join our Market Risk and Modelling team based in London. Reporting to the Director of Market Risk and Modelling, the successful candidate will play a pivotal role in maintaining the Bank’s risk management analytics and stress testing function, the management of model risk and associated governance, and implementing market risk policies across the Bank.

Additionally, the Associate Director will contribute to the formulation and implementation of BACB’s stress testing plan. This position requires close collaboration with senior management within Risk and across the Bank to ensure that our Modelling, Stress Testing and Market Risk strategies align with BACB’s overall risk appetite and regulatory requirements.

Key Work Outputs and Accountabilities

Stress Testing

• Leads the enhancement, annual refresh and implementation of Bank’s Stress Testing Framework and associated governance.
• Supports in designing the annual stress testing plan, including alignment to regulatory requirements and industry practice.
• Designs and executes assigned stress testing exercises working closely with SMEs in businesses and functions (Risk, Finance, etc.). Carries out periodic stress testing of market and liquidity risk profiles.
• Ensures appropriate data integrity controls over data used in stress testing and scenario analysis processes.
• Provision of financial stress test information, associated analysis and advice to support the CRO and other senior management in making decision in respect of stress test results.

Modelling and Analytics

• Leads the enhancement, annual refresh and implementation of Model Risk Management Framework and associated governance.
• Owns the Bank’s model risk inventory, risk assessment, reporting and oversight of implementation of control standards.
• Responsible for Risk owned IFRS9 models, assumptions, processes and policies and their annual validation.
• Primary contact within Risk to address queries from various stakeholders, internally as well as externally, regarding IFRS 9 ECL.
• Prepares and delivers MI across the spectrum of responsibility on daily, weekly, monthly or ad hoc basis.

Market Risk

• Contributes to the development, enhancement and implementation of market risk policies and frameworks that are responsive to the Bank’s risk appetite, including establishing and monitoring appropriate scope and scale limits for interest rates, foreign exchange and Treasury investments (primarily banking book).
• Assesses and reports on the Bank’s market risk profile and its compliance with limits and a commentary on This role profile acts as a guide to the role only and additional work outcomes may be required to be performed by the incumbent key developments and trends.
• Supports the Director in the annual refresh of the Internal Capital Adequacy Assessment Process (“ICAAP”), Internal Liquidity Adequacy Assessment Process (“ILAAP”) and Recovery Plan.

Required Qualifications and Experience

• Relevant experience gained in the Banking industry, ideally in a leading institution.
• Strong analytical and quantitative skills, with proficiency in financial modelling and risk assessment tools.
• Excellent communication and presentation skills, with ability to convey complex information clearly and concisely.
• Ability to work independently and as part of a team, with strong organizational and project management skills.
• Proficiency in Microsoft Office Suite and risk management software.

Clear Understanding and Knowledge of:

• IFRS 9 ECL processes and models (prior delivery of IFRS 9 ECL processes an advantage) o Knowledge of stress testing in a regulated environment.
• Money Market, Fixed Income, Foreign Exchange, and Treasury products, including the relevant settlement processes.
• UK focussed capital and liquidity regulations