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The selected candidate requires a deep understanding of market risk, particularly interest rate risk in the banking book (IRRBB), foreign exchange (FX) risk and risks associated with balance sheet management, along with the key economic drivers of market risk. This position also requires knowledge of Asset and Liability Management (ALM), including the use of derivatives and the development and monitoring of hedging strategies.
This position plays a key role in the development and implementation of market risk management strategies, stress testing, policies, modelling and risk controls across the Group.
Duties and responsibilities
Leading the ongoing development of market risk models to support IRRBB and FX risk management, including model design, calibration and validation; stress testing; back-testing; usage; reporting; and model governance
Providing quantitative modelling insights for both Risk and other Group functions, such as Treasury and Finance
Leading the development of stress testing methodologies and model assumptions
Owning the respective risk management policies relating to market risk and consolidating market risk reporting requirements, including additional sensitivity measures
Supporting and providing market risk insight into capital planning, funding plans and funds transfer pricing
Providing analysis of Market Risk RWA utilisations
Providing expert knowledge of market risk regulations and provide leadership on such topics, including implementing the standards required to meet Basel Committee guidelines on Interest Rate Risk in the Banking Book (BCBS 368)
Interface with internal audit, multiple supervisory bodies (ECB, MFSA, NBB), and support workstreams on their recommendations
Required knowledge, skills and experience
Minimum knowledge and experience
In possession of a Bachelor's degree in banking, finance, mathematics, statistics, or a related area
Minimum 5-years of experience in market risk management, including quantitative modelling
Good knowledge of market risk, specifically in interest rate risk management, FX risk, and stress testing in a financial institution
Experience of stress testing assumptions and modelling stressed scenario analysis
Knowledge of sensitivity analysis and Value-at-Risk
Good understanding of the risks associated with Asset & Liability Management
Good knowledge of financial products is essential, including an understanding of risk management concepts
Highly motivated, inquisitive, meticulous and possess critical and problem solving skills
Highly numerate with a natural preference for quantitative analysis
Strong attention to detail and ability to work under tight deadlines
Possess a strong element of independent judgement
Ability to work in a team and in collaboration with other functions to achieve results under pressure with minimal supervision
Proficient in MS Excel, VBA and similar solutions, with ability to learn new applications and software
Strong understanding of ALM modelling techniques, including statistical and econometric modelling, modelling of indefinite maturity deposits, and the association with liquidity risk and capital management will be considered an asset
Working knowledge of banking rules and directives will be desirable
Ideally will have had exposure to a number of asset classes but with primary responsibility for managing market risk with hands-on modelling experience (5-years+)