Senior Analyst: Market and Liquidity Risk - Fidelity Bank

Job Description

• Work as a key resource to the Manager of Market and Liquidity Risk, assisting with the management of the market & liquidity risk control function in the pursuit of its targets
• Ensure that the methodology and assumptions used for liquidity risk measurement are in line with regulatory and the market risk policy, and documented appropriately including liquidity risk policies and procedures.
• Prepare the monthly market risk-weighted assets reports for the Capital Requirement Directive (CRD) report.
• Running and evaluating results of stress tests and scenario analysis.
• Periodic review of stress test and scenario analysis underlying assumptions
• Responsible for liquidity and interest rate risk-related works including providing data/analysis on key risk indicators for ALCO and Treasury reports.
• Review and setting of trading limits for FX, FI and ALM limits for onshore and offshore counterparties.
• Advising the various business units on estimated available capital for interest-bearing assets based on the monthly Capital Adequacy Ratio (CAR)
• Perform ad-hoc risk analysis for ALCO, Treasury and the Regulator
• Build relationships with the front office and support functions. Communicate risks and exceptions and at times challenge assumptions.
• Perform a proactive middle office function between Treasury and Treasury Operations, monitoring adherence to risk limits set for;
  • Dealers
  • Counterparties and 
  • Products
• Assist in the quantification of Market Risk for Trading book and Banking book (VAR, ES, PV01 & Mark-to-Market computations and analysis)
• Assist in the market & liquidity risk quantification under the ICAAP process 
• Assist in ongoing monitoring of counterparties on both trading activity and financial statement analysis.
• Review and report on Term Deposits and other Purchased/ Wholesale funds to determine the degree of reliance on such funds to management.
• To fulfil any additional/ ad hoc studies on specific risk issues to meet the needs of the business
• Build and maintain strong relationships with business management, business support heads and other areas of risk management Bank-wide. 
• Prepare the capital allocation and performance report of the bank.