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 Investment bank are implementing a new Securities Trading System and they require a Market Risk Specialist to define system specifications, design and build risk reports, establish a robust limit structure, conduct comprehensive testing, and document procedures, acting as the leading authority with minimal reliance on in-house input. As a key member of a cross-functional project team under overall project management, the Market Risk Expert will drive the project through design, build, testing, and go-live phases, ensuring alignment with business objectives and regulatory requirements. 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.

Requirements

• 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.