Manage and develop the market, liquidity and enterprise risk functions for the bank in accordance with the Risk Management Policy and Framework, adhering to regulatory requirements and best international standards and practices.
1. Strengthen governance of market and liquidity risk through the development and ongoing review of risk appetite, policy, procedures, contingency plans and limits
· Review and propose market and liquidity risk appetite, including market and liquidity risk limits
· Review and propose market and liquidity risk policy
· Formulate market and liquidity risk procedures
· Review investment policy and liquidity management policy
· Establish liquidity contingency plan
· Review ALCO material & minutes and provide input for CRO
2. Supervise ongoing monitoring, analyses and timely reporting of market and liquidity risk levels for management, RMC, ALCO, and BRMC, in compliance with risk policy and procedures
· Supervise estimation of risk metrics for the investments portfolio
· Supervise preparation of repricing schedule, estimation of NII and EVE risk, and carrying out of SBP market risk stress tests
· Supervise calculation of liquidity ratios and early warning indicators, trend analysis, determination of core deposits, and carrying out of stress tests / scenario analyses for liquidity risk
· Deliver / supervise preparation of timely reports and presentations on market and liquidity risk analyses and evaluation
3. Supervise off-site system-based middle office monitoring of Treasury activities through independent revaluation, limit monitoring, deal rate checking, and trend analyses of deal volumes, rates, counterparties & brokers
· Supervise daily revaluation of investments portfolio and checking of Treasury revaluation on weekly basis
· Supervise monitoring of Treasury limits compliance, ensure documentation and escalation of breaches to appropriate authorities
· Supervise monitoring and tracking of Treasury deal rates, volumes, tenors, counterparties, and brokers
· Supervise circulation of daily / monthly reports including Treasury limits compliance, revaluation, P&L and deal rate checking
· Supervise RMD review of Treasury manual
4. Lead the annual review of the Risk Management Policy and Framework
· Review and propose revisions to the Risk Management Policy, in coordination with other risk functions and in line with BoD, management and regulatory requirements
· Review and propose revisions to the Risk Management & Reporting Framework, including risk appetite, in coordination with other risk functions and in line with BoD, management and regulatory requirements
5. Develop risk models in compliance with regulatory standards and best-practices and use models to generate global risk analytics and / or risk limits for informed managerial decision-making
· Maintain and develop daily market & liquidity risk model and monthly ALM model
· Supervise updation of counterparty limits, dealer limits using approved RMC model
· Supervised updation of insurance companies limits model
· Develop and use model to carry out stress testing on holistic basis in compliance with Risk Management & Reporting Framework and SBP action plan
· Review models for credit and operational risk in collaboration with Managers Credit Risk and Operational Risk
6. Review annual business strategy and provide stress testing / scenario analyses as required throughout the year
· Review business strategy and ongoing developments against approved strategy from a risk perspective in light of Framework, policy, stress tests, risk appetite
· Provide stress testing through scenario / sensitivity / what-if analyses on quarterly as well as ad-hoc basis on request of management (e.g. in order to gauge risk impact of a shift in ALM strategy)
· Preferred FRM / CFA or advanced graduate university degree (typically in mathematics, business administration, finance, statistics or equivalent)
· 7 years experience preferably in financial risk management / enterprise risk management with a financial focus. Previous banking and / or microfinance experience is desirable.
· Knowledge of banking products, accounting, finance and ERM principles and financial modeling.
· Exhibits and upholds KMBL’s values and social performance objectives.
Duration & Nature of Previous Experience
· Strong technical, analytical and communication skills. Highly proficient in word processing, spreadsheet, and presentation applications. VBA / query-building knowledge is an advantage.