Job Purpose:

Lead Market, Liquidity, IRRBB and Balance Sheet risk frameworks, while also overseeing financial model governance, validation and performance assurance.

This role is suited for a specialist with strong quantitative skills, treasury product knowledge and a proven ability to ensure robust modelling and regulatory risk compliance, including ICAAP and ILAAP.

Key Responsibilities:

Financial Risk Governance & Implementation:

• Lead and enhance Market, Liquidity and Balance Sheet Risk policies and frameworks.
• Ensure effective financial risk oversight across Treasury, ALM and Risk functions.
• Drive regulatory alignment with risk appetite, internal frameworks and supervisory guidelines.
• Support implementation and optimization of risk systems, analytics tools and datasets.
• Lead and support financial risk components in ICAAP and ILAAP preparation, documentation and annual reviews.
• Participate in risk methodology upgrades, regulatory projects and Treasury system enhancements.

Financial Modelling & Model Risk Management:

• Lead model development, calibration, back-testing and enhancement for Market and Liquidity Risk.
• Oversee the end-to-end model lifecycle including validation and retirement decisions.
• Establish model governance standards and ensure full documentation and model traceability.
• Perform independent model assessments to evaluate accuracy, assumptions and limitations.
• Monitor model performance, usage controls and ensure prompt remediation of model weaknesses.
• Ensure adherence to model governance policies, audit expectations and regulatory model guidelines.

Risk Identification, Measurement & Quantitative Analysis:

• Independently analyze and assess balance sheet structure, funding maturity gaps and interest rate sensitivities.
• Model liquidity gaps, behavioral assumptions and IRRBB metrics.
• Assess FX and rate volatility impacts on capital, earnings and market value.
• Conduct independent valuation reviews and assess treasury P&L attribution.
• Lead design and execution of stress tests, scenario analysis and risk simulations.
• Provide quantitative insights to ALCO, Executive Management and Treasury stakeholders.

Risk Monitoring, Reporting & Decision Support:

• Monitor daily market and liquidity exposures and evaluate early-warning signals.
• Produce high-quality reports for ALCO, Executive Committees, Board and Regulators.
• Track risk appetite utilization relating to liquidity, funding and market risk limits.
• Enhance risk dashboards, reporting automation and visual analytics capability.
• Analyse key P&L drivers and explain market movements affecting the balance sheet.
• Provide forward-looking risk commentary, scenario outcomes and emerging risk insights.

Academic Qualifications:

• Bachelor’s degree in finance, Mathematics, Economics, Statistics, Actuarial Science or related field.
• Professional certification such as FRM, CFA, PRM, CQF is an added advantage.

Experience & Technical Skills:

• 7+ years’ experience in Market, Liquidity or Balance Sheet Financial Risk within banking.
• Experience in ICAAP and ILAAP contributions, stress testing and supervisory reporting.
• Strong modelling skills with hands-on financial model development or validation experience.
• Proficiency in analytical tools such as Excel (advanced), Python, desirable.
• Strong knowledge of ALM concepts, IRRBB, liquidity metrics and treasury valuation.
• Excellent analytical thinking, communication and reporting ability with attention to detail.

• Lead and enhance Market, Liquidity and Balance Sheet Risk policies and frameworks.
• Ensure effective financial risk oversight across Treasury, ALM and Risk functions.
• Drive regulatory alignment with risk appetite, internal frameworks and supervisory guidelines.
• Support implementation and optimization of risk systems, analytics tools and datasets.
• Lead and support financial risk components in ICAAP and ILAAP preparation, documentation and annual reviews.
• Participate in risk methodology upgrades, regulatory projects and Treasury system enhancements.
• Lead model development, calibration, back-testing and enhancement for Market and Liquidity Risk.
• Oversee the end-to-end model lifecycle including validation and retirement decisions.
• Establish model governance standards and ensure full documentation and model traceability.
• Perform independent model assessments to evaluate accuracy, assumptions and limitations.
• Monitor model performance, usage controls and ensure prompt remediation of model weaknesses.
• Ensure adherence to model governance policies, audit expectations and regulatory model guidelines.
• Independently analyze and assess balance sheet structure, funding maturity gaps and interest rate sensitivities.
• Model liquidity gaps, behavioral assumptions and IRRBB metrics.
• Assess FX and rate volatility impacts on capital, earnings and market value.
• Conduct independent valuation reviews and assess treasury P&L attribution.
• Lead design and execution of stress tests, scenario analysis and risk simulations.
• Provide quantitative insights to ALCO, Executive Management and Treasury stakeholders.
• Monitor daily market and liquidity exposures and evaluate early-warning signals.
• Produce high-quality reports for ALCO, Executive Committees, Board and Regulators.
• Track risk appetite utilization relating to liquidity, funding and market risk limits.
• Enhance risk dashboards, reporting automation and visual analytics capability.
• Analyse key P&L drivers and explain market movements affecting the balance sheet.
• Provide forward-looking risk commentary, scenario outcomes and emerging risk insights.

• Strong quantitative skills
• Treasury product knowledge
• Robust modelling ability
• Regulatory risk compliance
• Financial risk governance
• Financial risk oversight
• Regulatory alignment
• Risk systems implementation and optimization
• ICAAP and ILAAP preparation and documentation
• Risk methodology upgrades
• Regulatory projects
• Treasury system enhancements
• Model development, calibration, back-testing and enhancement
• Model lifecycle oversight
• Model governance standards
• Model traceability
• Independent model assessments
• Model performance monitoring
• Model weakness remediation
• Adherence to model governance policies
• Interest rate sensitivity analysis
• Liquidity gap modeling
• Behavioral assumption modeling
• IRRBB metrics modeling
• FX and rate volatility assessment
• Independent valuation reviews
• Treasury P&L attribution assessment
• Stress testing design and execution
• Scenario analysis design and execution
• Risk simulation design and execution
• Quantitative analysis
• Market exposure monitoring
• Liquidity exposure monitoring
• Early-warning signal evaluation
• Report production
• Risk appetite tracking
• Risk dashboard enhancement
• Reporting automation
• Visual analytics capability
• P&L driver analysis
• Market movement analysis
• Forward-looking risk commentary
• Scenario outcome analysis
• Emerging risk insight provision
• Excel (advanced)
• Python
• ALM concepts
• IRRBB
• Liquidity metrics
• Treasury valuation
• Analytical thinking
• Communication
• Reporting ability
• Attention to detail

• Bachelor’s degree in finance, Mathematics, Economics, Statistics, Actuarial Science or related field.
• Professional certification such as FRM, CFA, PRM, CQF is an added advantage.