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Job Description
Key responsibilities:
A.Interest Rate Risk in the Banking Book (IRRBB), requiring involvement in the following:
1.Management of the Long Term Investment (LTI) portfolio, requiring the timely identification of investment needs and opportunities as well as timely trade execution in order to remain within acceptable risk appetite limits.
2.Management of the Cash Flow Hedge (CFH) program, requiring the timely identification of interest rate swap needs and opportunities as well as timely trade execution in order to remain within IAS39/IFRS9 hedge accounting rules.
3.Analysis, monitoring and reporting on structural balance sheet risks covering interest rate and foreign exchange risks.
4.Maintenance and development of the ALM system used for measuring and reporting on above structural risks.
5.Maintenance and development of the bank’s Funds Transfer Pricing (FTP) framework.
B.Management of Liquidity and Funding risks, requiring involvement in the following:
6.Management of long term liquidity risk in compliance of internal target ratios as well as Basel and SAMA regulations.
7.Oversight of short term liquidity risks in compliance of internal target ratios as well as Basel and SAMA regulations.
8.Management of internal liquidity cost formula used to charge users of liquidity.
C.Involvement in Capital Management, requiring involvement in the following:
9.Ownership of Pillar 2 risk methodology for IRR and Liquidity and its regular calculation and reporting.
10.Provide support in periodic ICAAP submissions.
All of the above responsibilities require a combination of data management, analytics, reporting, knowledge and awareness of economic conditions and financial market responses.
Skills
Qualifications & Experience:
Required:
• Degree educated, preferably in a related subjects covering Accounting, Finance or MIS;
• More than 8 years of relevant practical experience in Treasury or Asset & Liability Management;
• Very good command of English (both written and verbal).
Knowledge & Skills:
• Knowledge of financial services covering both retail and business banking products;
• Knowledge of Treasury instruments (e.g. money market and capital markets as well as derivatives);
• Knowledge of ALM systems (e.g. AMBIT Focus, QRM, KRM);
• Knowledge of ALM techniques and conventions;
• Knowledge of Basel and SAMA regulations covering IRRBB, LCR, NSFR, & ICAAP;
• Knowledge of settlement and MI systems (e.g. Kondor, Reuters, Bloomberg)
Education
Accounting, Finance or MIS