IDB3022 - Senior Risk Management Specialist (Market)

Business Unit: President Complex
Division: Not Applicable
Department: Risk Management Department
Country: Saudi Arabia
Location: Saudi Arabia - Jeddah
Closing date: 23-Nov-2023

Role Purpose:

The purpose of the job is: (i) To independently undertake all necessary activities in the formulation and quantification of market and liquidity risk Appetite and maintain, implement, and monitor the Asset-Liability Management Framework to ensure all emerging and evolving risks which may impact the Bank’s external credit rating are identified. Conduct advanced analyses and reviews of policies, guidelines, models, methodologies and systems, stress testing, new products and investment proposals and evaluations, from the perspective of market, liquidity, and profit rate risk. (ii) To manage the implementation and execution of a bank wide model risk management framework. This includes participating in the implementation of model risk management policies and procedures, performing ongoing model risk monitoring, managing model inventory, undertaking model validation, identifying & reporting on model risk, and maintaining a model inventory. 

Key Accountabilities:

Market Risk Management 

  • Formulate and quantify market and liquidity risk appetite. 
  • Develop and maintain the Asset-Liability Management (ALM) framework which establishes the broad strategic principles for the management of balance-sheet risks and sets the broad risk parameters to guide the relevant units in developing related policies. 
  • Review financial policies and guidelines developed by other units and ensure compliance with approved risk frameworks. These include ALM policies, liquidity management policies, investment policies, etc. 
  • Monitor compliance with Asset-Liability Management governance and limits; Report on the compliance with approved guidelines and limits; Perform analysis and report on any breaches. 
  • Undertake periodic independent quantification and monitoring of profit-rate, currency, and other market risks inherent in the financing, investing, funding, and hedging activities of the bank. 
  • Conduct scenario analysis and stress-testing on various market risk exposures and recommend appropriate actions based on analysis of the results. 
  • Review the outputs of stress tests conducted by other departments on the liquidity and funding risk of the Bank and provide constructive feedback. 
  • Produce standardized and ad-hoc reports on market risk, liquidity risk profile of the Bank, and performance of the underlying portfolios.
  • Conduct advanced analyses to test the assumptions used in market risk models / methodologies / limit structure and ensure their consistent application. 
  • Participate in the review of new products and assess their adequacy and consistency with the Bank's risk policies and infrastructure. 
  • Review liquidity needs, identify potential risks and recommend mitigating measures.  

Model Risk Management:

  •  Formulate and quantify model risk appetite.
  •  Develop and maintain a Model Risk Management policy, management directives, procedures and guidelines.
  • Maintain and updated the model risk monitoring tools, systems, and methodologies to ensure on-going quality of model risk management
  • Independently review financial and risk models in use by the Bank and periodically perform independent model validation of these models.
  • Perform independent model risk assessment and model performance monitoring in accordance with the defined model risk appetite and the predefined model performance targets.
  • Review model development and re-development/re-calibration proposals from model owners.
  • Perform periodic procedural compliance on model development and management process within the Bank along with review of adequacy and comprehensiveness of model documentation with the approved policy, directives and guidelines and highlight deviations with recommendations to achieve compliance.
  • Undertake ongoing management of model tiering, perform model risk assessments, and maintain model inventory, model documentation, model performance reports and model validation reports.

Operational Excellence & Knowledge Share:

  • Provide technical guidance and review the work delivered by lesser
    experienced team members.
  •  Monitor the effective implementation and adherence to respective risk
    management policies, procedures, and controls so that all relevant
    procedural / legislative requirements are fulfilled.
  •  Keep abreast with the latest developments, regulations and leading
    practices in the field and proposes any necessary actions.
  • Propose and implement process improvements to increase efficiency,
    effectiveness, and compliance of the related operations.


Education, Certification and Experience:

Academic and professional qualifications:

  •  Bachelor's degree in Economics/ Finance/ Risk Management/ Mathematics/ Business Administration or related discipline.
  • Professional certifications like CFA/ PRM/ FRM/ CQF would be preferred.
  • Minimum 8 years of relevant experience in a financial modelling or risk management function, of which at least least 3 years in Market Risk, Liquidity Risk, ALM or Model Risk, preferably in a Multilateral Development Bank.

Skills & Necessary Knowledge:

    • Risk Assessment and Risk Quantification skills
    •  Quantitative Analytical skills
    • ALM, Market and Liquidity Risk Models & Methodologies
    •  Asset Valuation Techniques
    • Familiarity with External Rating Methodologies
    •  Governance, Risk and control
    •  Islamic Finance
    • Stress Testing
    • Analytical Thinking
    •  Problem Solving
    •  Attention to detail
    •  Stakeholder Management
    •  MS Office


English  Mandatory
Arabic   Preferred
French  Preferred