
Market Risk Executive
5 days ago
The role requires a professional with a Bachelor's degree in Risk Management, Actuarial Sciences, or a related field. A minimum of 3-5 years of experience in banking, preferably with expertise in Market Risk, Basel III, IFRS 9/IAS 39/Credit Risk Modeling System. The ideal candidate should have knowledge of SBP reporting formats and proficiency in using the DAP portal.
The successful candidate will be responsible for conducting thorough reviews of audit entities, independently monitoring business compliance, collaborating with business management, and ensuring reports comply with statutory policies and procedures.
The role also involves preparing projected liquidity MAR and Stress Scenarios, preparing Maturity and Interest Rate Gap reports, calculating and preparing Basel III CAR & liquidity ratios, and assisting in implementing the quarterly IFRS9 Expected Credit Loss calculation, modeling, and reporting processes.
Additionally, the successful candidate will support the team in enhancing the development of IFRS 9 models, including re-calibration of PD, LGD, macroeconomic scenarios, and defining mathematical techniques and underlying assumptions for volatility and correlation calculations.
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