Market Risk Specialist

I am keen to speak with, Market Risk Specialists who are keen to take on a exciting challenge with an Investment Bank, in the middle east. This is a 6 month contract which will require you to work onsite in the middle east. Client and exact location to be discussed.

The role reports directly to the Head of Risk and the COO, who is leading the project.

Responsibilities include:

• Independently define detailed system requirements and specifications for the proprietary trading system, collaborating with the trader, IT, and other stakeholders with limited in-house expertise.
• Enhance and update the banks existing market risk governance structures, including escalation committees, model governance protocols, and clear ownership for limit monitoring, breaches, and remediation.
• Develop and implement risk reports, models, and tools to monitor traded and non-trade market risk exposures, including but not limited to; Value-at-Risk (VaR), sensitivity analysis, and portfolio stress tests, with minimal guidance from the organization.
• Design and execute backtesting models to validate VaR and other model outputs, ensuring regulatory compliance with Basel backtesting standards and regulatory requirements
• Ensure risk reporting supports regulatory capital computation and attribution, aligned with Basel II and Basel III FRTB standards
• Design and implement limit frameworks with dynamic calibration logic to ensure limits remain risk-sensitive and adaptive to portfolio composition, market volatility, and liquidity conditions, including monitoring tools that automatically adjust or flag limits as market conditions evolve
• Independently develop and validate severe but plausible market risk scenarios, aligned with regulatory expectations under CBO Circular BM-1200, and integrate these into capital and risk reporting
• Develop capital allocation models compliant with Basel II and Central Bank regulations for market risk capital and Basel III FRTB standards, including standardised and internal models approaches as appropriate.
• Lead the design and integration of market risk components into the ICAAP framework, ensuring alignment of risk quantification, capital planning, stress testing, and governance with regulatory expectations.

• Minimum of 7-10 years of experience in market risk management within proprietary trading or investment banking environments, with a focus on bonds and equities.
• Essential: Clear, proven track record of successfully delivering similar trading system implementation projects (e.g., risk management system upgrades or new system deployments) at a previous organization, with demonstrable outcomes, achieved independently as the primary expert.
• Extensive experience in autonomously designing risk frameworks, writing risk policies, devising testing protocols, and conducting stress tests for prop trading.
• Familiarity with trading systems (e.g., Bloomberg, Murex, Calypso, or similar) and their risk management modules.
• Strong understanding of risk metrics (VaR, Greeks, stress testing) and financial instruments (bonds, equities)
• Expertise in system testing methodologies and tools, with the ability to design tests from scratch.

Benefits

Rate to be discussed.