A Market Risk and Portfolio Officer monitors, quantifies, and controls financial risks arising from banking book and trading book movements, ensuring portfolio exposures align with regulatory frameworks and the bank's internal risk appetite.
- Primary Objective: Protect bank capital from volatile market fluctuations.
- Key Focus Areas: Interest rate risk, liquidity metrics, and portfolio concentration limits.
- Reporting Line: Typically reports to the Head of Market Risk or Chief Risk Officer.
- Regulatory Alignment: Operates heavily under Basel III/IV and local central bank guidelines.
Key Responsibilities
Market Risk Management
- Monitor Sensitivity: Track Basis Point Value (BPV/DV01), duration, and convexity of fixed-income portfolios.
- Perform Stress Testing: Model portfolio performance against economic shocks, yield curve shifts, and liquidity crises.
- Calculate Risk Metrics: Compute Value at Risk (VaR), Expected Shortfall (ES), and Stressed VaR on trading positions.
- Enforce Limit Compliance: Monitor daily breaches of regulatory and internal risk limits, escalating violations immediately.
Portfolio Analytics & ALM
- Assess Structural Risk: Analyze Interest Rate Risk in the Banking Book (IRRBB) and Net Interest Income (NII) sensitivity.
- Evaluate Concentration: Identify and mitigate high concentrations in specific asset classes, sectors, or counterparties.
- Collaborate with Treasury: Review Funds Transfer Pricing (FTP) frameworks and liquidity buffers to ensure balance sheet stability.
- Recommend Hedging: Propose derivative strategies, such as interest rate swaps or FX forwards, to mitigate open risk exposures.
Regulatory & Management Reporting
- Deliver Risk Dashboards: Produce regular risk reports for the Asset-Liability Committee (ALCO) and senior management.
- Ensure Compliance: Prepare necessary document filings for regulatory bodies regarding capital adequacy and market risk capital charges.
Qualifications & Technical Skills
- Education: Bachelor's or Master's degree in Quantitative Finance, Financial Engineering, Economics, or Mathematics.
- Certifications: Financial Risk Manager (FRM) or Professional Risk Manager (PRM) designation is highly preferred.
- Experience: 3 to 5+ years in middle-office risk management, treasury analytics, or financial auditing within commercial or investment banking.
- Technical Stack: Strong mastery of SQL, Python, or R for data analysis, alongside core risk platforms (e.g., Murex, Bloomberg, or Reuters).
- Domain Knowledge: Deep understanding of fixed-income instruments, derivative pricing, and central bank regulatory liquidity ratios (LCR, NSFR).
