One of the largest banks in the Middle East is looking for a Market Risk Manager- Asset Management  to be based in Dubai.

BACKGROUND INFORMATION:
The position has arisen due to the expansion in the Group Asset Management business.

Market Risk function within Group Risk Management department exists to monitor, report, and model market risk, as well as support and due diligence Treasury and Capital Markets activity across the Group. The proposed jobholder will report to the Head of Market Risk, and is expected to add value through bringing a combination of strong quant capabilities, and robust market risk management techniques, practices and discipline to the table.

The key requirement for this position is robust practical experience in market risk management of Asset Management. The candidate’s hands-on experience should encompass the following:
o Portfolio construction in the context of Discretionary and Advisory mandates.
o Daily valuations, oversight, and reporting of investment activity for the Asset Management business.
o Oversight and evaluation of third party managers: evaluation of DDQs, operational framework, business models, trading models, reporting templates, regulatory controls.
o A deep and intuitive understanding of the current asset management landscape in terms of trading and investing strategies.
o An in-depth and thorough understanding of, and past experience in, hedge fund oversight.

JOB TASKS:
 (1)    Develop new and maintain existing quant market risk management policies and methodologies (e.g. portfolio Greeks, VaR, and Scenario building).
(2)     Actively monitor trading and investment limits, and take appropriate action in case of breaches.
(3)     Work with investment desks to support new business initiatives in line with Board’s risk appetite and in accordance with the bank’s risk management policies. Ensure that robust market risk controls are maintained to prevent unauthorized exposures.
(4)     Generate independent, accurate and timely market risk management information for the department, the Business, and the senior management.
(5)     Provide expert advice and carry out due diligence on investment proposals.
(6)     Propose, discuss, and implement market risk solutions which are fit for purpose.

REQUIRED EXPERIENCE:
(1) Minimum of five years Asset Management experience in either a quant or market risk role.
(2) Must have hands on and in-depth understanding of basic market risk constituents: Greeks, Vanilla and Structured Derivatives Valuations, VaR, and portfolio construction.
(3) Must have proven capability to combine Stochastic Calculus with Statistical Inference techniques to generate probabilistic models necessary for day-to-day market risk management of Structured Products.

Practical experience in Market Risk oversight of Asset Management business incorporating the following products/structures would be highly advantageous:
o Interest Rate Instruments & Derivatives: Repos, IRS, CIRS, FX Swaps, FRAs, Options (vanilla, digitals, quantos, bermudan, barriers, knock-ins/outs, Swaptions, CMS, et al).
o Vanilla and Structured Credit Products: CDS, FTD, CDOs, FRNs, Index Trading.
o Equity Products: equities, correlation baskets, portfolio construction.
o Foreign exchange products: spot/forwards, FX options, NDFs, et al.
o Hedge Funds, long-only funds, and structured/compound products.

 QUALIFICATIONS:
Ideally a masters/post-graduate degree in financial mathematics or statistics preferably with some exposure to VB, C++, or Matlab.