• 2.7.4 Market risk


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    Description of role

    Responsible for identifying, measuring, monitoring and reporting market risk across the bank.


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    Core skills

    • Knowledge of treasury products and financial instruments
    • Knowledge of treasury, derivative and other products
    • Ability to develop, implement and maintain market risk identification and measurement framework
    • Knowledge of markets, instruments and risks of foreign exchange, interest rate, equity and commodity
    • Knowledge of market risk metrics such as stress testing, Value at Risk (VaR) etc.
    • Ability to perform stress tests and back tests
    • Ability to prepare cash flows for derivative and other products
    • Understand valuation and pricing of market risk related products
    • Understand models and tools for valuation and pricing
    • Knowledge of risk and return consideration in market risk products
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    Qualification and/ or certification

    • QFSQF Level 3
    • Relevant experience

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    Industry knowledge

    • Knowledge of financial markets
    • Knowledge of market risk

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    Regulatory compliance of role

    • Knowledge of banking regulatory framework
    • Knowledge of Basel II / III