ALM/ Market Risk-KSA

ALM/ market risk – 8 to 10 years’ experience - IRRBB Governance & Modeling: Advanced proficiency in measuring and mitigating Interest Rate Risk in the Banking Book (EVE and NII sensitivity) aligned with Basel and SAMA standards. - ILAAP Framework Architecture: End-to-end design and execution of the Internal Liquidity Adequacy Assessment Process, ensuring robust liquidity buffers and governance frameworks. - FTP Methodology Development: Expertise in constructing, maintaining, and refining multi-curve Funds Transfer Pricing frameworks that accurately allocate liquidity and interest rate costs across business units. - Liquidity Stress Testing: Designing complex, multi-horizon liquidity stress tests (idiosyncratic, systemic, and combined) to optimize Liquidity Coverage Ratios (LCR) and Net Stable Funding Ratios (NSFR). - Recovery and Resolution Planning (RRP): Direct experience in formulating comprehensive RRP playbooks, triggers, escalation procedures, and viable recovery options for regional banking regulators. - SAMA Regulatory Compliance: Deep operational familiarity with Saudi Central Bank (SAMA) prudential regulations, risk-weighting guidelines, and macroprudential mandates. - Risk-Adjusted Pricing Models: Integrating credit risk, capital costs, and behavioral assumptions into retail and wholesale asset/liability pricing structures to drive sustainable margins. - ALM Strategy & Balance Sheet Optimization: Proven track record in managing banking book asset-liability structures, hedging strategies, and margin protection under volatile rate environments. - Treasury Systems Integration: Hands-on implementation and utilization of advanced treasury analytics and ALM risk systems (such as QRM, Kondor, or Misys) for scenario simulation and reporting. - This is a Contractual role for 6 months to 1 year.