Role Summary

The incumbent will be overall responsible, together with the Head of Risk, for the adequacy and effectiveness of the ALM, liquidity risk and market risk management techniques/ processes. The incumbent will be responsible for implementing and maintaining locally ALM, Liquidity Risk and Market Risk management systems and processes developed by the QNB Group.

The incumbent have a strong technical understanding of the control of ALM, liquidity and market risks.  He/she will assess the completeness of the control framework and will define / refine the department’s processes to ensure all relevant risks are adequately monitored and controlled. 

He/she will provide Treasury Middle Office (TMO) analysis and reporting accompanied by commentary, ensuring that risks are clearly explained to a non-technical audience.  

Support definition, development and implementation of ALM, liquidity and market risk measurement tools, systems, processes and reporting across QNB Paris branch. This includes the support and roll out of Group-wide initiatives

 Support normal operations of Treasury.  Provide cover for all TMO and Liquidity processes. The incumbent is expected to help manage and critically appraise these processes, proposing improvements in terms of efficiency and effectiveness.

Generate analysis and evaluations of market conditions, emerging risk trends and methods for relevant hedging. Ensure the risks do not exceed the risk appetite of the Bank.

Provide expert input into the calculation of Economic Capital and Risk Strategy development, ensuring alignment to the overall Group Business Strategy;

Define and drive improvements in the effective operation of data management, MIS, analytics evaluations, and other support required for the European ALCO and local Risk Committee;

Perform regular stress and scenario testing, ensuring compliance with the Bank’s risk appetite. Publish results and their interpretation to the European ALCO.

Role Description

Provide oversight and control of the fundamental prudential risks of the bank: liquidity, interest rate, currency and other market risks.

Provide support to the branch Management in understanding the current risk exposures of the bank and the implications of future risk strategy, including strategy for capital and liquidity management with due consideration to the macroeconomic and financial environment.

Advise and assist the Head of Risk to enable the Bank to move to more sophisticated/ advanced methods for calculation / measurement of market risk and capital.

Ensure the control of liquidity meets or exceeds international best practice and Groups requirements and complies with Regulatory standards (including Basle 3).  Define in detail the Bank's liquidity contingency plan and secure agreement from key stakeholders, including local Management and HO Risk. 

Monitor and analyze market & economic conditions and develop recommendations on adequate and timely mitigating actions / recommendations to reduce, diversify, shifting of these risks.

Monitor, control and report market risk associated with QNB Paris activities, for trading book as well as investment book of business. Ensure reporting is accessible for senior management by provision of concise, informative reports and commentaries.

Develop new, and enhance existing policies and procedures for Liquidity, ALM and market risk management. Prepare policy drafts for Risk and ALCO reviews and approvals, as appropriate.  Review limit structures and amounts, ensure these support the current and strategic needs of the organization.

Calculate the regulatory capital requirement of Market Risk and provide input, support and expert advice in the process of managing market risk regulatory capital (including ICAAP) and regulatory liquidity measures (including LCR and NSFR ratios).

Support the department head to provide timely and accurate risk information to Risk & Management Committees, external & internal auditors and the Compliance function as and when required.

Provide expert advice with respect to market risk / liquidity / ALM / portfolio risks associated with new product launches.

Monitor compliance with Market Risk limits.  Provide commentary explaining significant exposure / ratio / movements and communicate analysis to the Head of Risk. Identify and communicate new and emerging risks

Manage & coordinate on on-going basis, all TMO periodic and ad hoc reports for Group's trading book and Banking Book. Improve the content and presentation of all reports produced and develop a Market Risk dashboard, providing senior management with a single page view of all key Market Risk statistics.

Support development of Portfolio and Market Risk measurement processes appropriate to the needs of the Bank. 

Assist in implementing risk policy & controls that ensure transactions are carried out in accordance with approved policies/ limits and in compliance with regulatory and legal requirements.

Assist in developing qualitative assessments on the level of risks assumed and measured through empirical techniques and other appropriate tools, and recommend corrective actions to mitigate such risks.

Support the Bank's preparation for adopting advanced market risk regulatory capital approaches.

Provide timely and accurate information to the external and internal auditors and the Compliance function as and when required.

Qualifications

Master’s degree preferably in finance, economics &/or quantitative subjects.

Prefer Treasury market Specialization & / or Professional certification such as FRM, CPA, CFA.

Good grasp on risk concepts, banking products/ operations/ systems, pertinent regulatory requirements, International Accounting Standards and related pronouncements, including related best practices.

Experience in international banking with specific focus on ALM, Market Risk and Liquidity Risk Analytics/Quantitative Methods.

Understanding of liquidity risk management methodologies and ratio (LCR and NSFR), interest rate modeling (IRRBB), and/or other financial risk modeling.

Excellent oral and written communication skills in English.

Adequate knowledge of IT systems/ applications.

Adequate knowledge of ALM and market risk management practices including but not limited to pertinent Basel II & Basel III framework and regulatory concepts and ratio (ICAAP, ILAAP, LCR and NSFR).