Head of Market Risk Division, Bank, Baku

Head of Market Risk Division

Azerbaijan Bank

Location - Baku

Main Accountabilities

• In-depth knowledge of Bank’s market and liquidity risk management internal policies and procedures
• Support the development of the framework for quantitative models development, update and implementation (e.g. statistical basic measurement methods, sensitivity analysis, scenario analysis, etc.)
• Monitoring of limits for money market, bond, equity, and derivatives trading, ensuring that quantifiable risks are within the structure of approved limits
• Management of internal reporting based on the output of the bank’s internal market risk models (including evaluation of the relationship between measures of market risk exposures e.g. value-at-risk, stress tests and trading limits)
• Ensuring market risk KRIs reflect the key controls to be monitored; prioritize top KRIs and establish thresholds and escalation triggers for each KRI; create early-warning metrics and procedures for market events.
• Continuous coaching and development of the subordinates facilitating the effective execution of all unit’s functions
• Strictly follow all internal rules, processes, policies and procedures of the bank (including HSE related) and be responsible for their violation.
• Acting in accordance with ERM policy. Determining risks and finding mitigation tools.

Knowledge, skills and experience required

• Education: University degree, preferably in Economics, Finance, Mathematics or another related subject. Post-graduate studies in these areas would be an advantage.
• Work experience: Minimum 4 years of relevant professional experience in Market risk or other relevant field.
• License / Certificate: FRM certification is preferable.
• Foreign Language: English (fluent)
• Product knowledge: Knowledge of financial products and financial markets.