Senior Murex Risk Ba

3 months ago


الرياض, Saudi Arabia Luxoft Full time

Riyadh, Saudi Arabia

Murex ERM

BCM Industry

01/10/2024

Req. VR-108489

**Project description**:
Large bank in Saudi is looking for Risk BA for their Murex greenfield implementation project.

**Responsibilities**:
Experience in MLC with exposure on counterparty risk, collateral management.

Implementation of full Basel III reforms in Murex including FRTB, SA-CCR, CVA requirements,.... etc.

Ensure correctness of all Treasury positions on EOD basis (e.g. HQLAs and other investments, money market instruments, trading instruments... etc.)

Developments of reporting capabilities within Murex FRTB module. This includes Regulatory and Management Reporting, for positions, limit monitoring, stress testing (e.g. VaR, ES, Exposures... etc.)

Undertake and ensure simulations and projections capabilities for new deal impacts and portfolio/limit changes

Develop test cases, perform UAT exercise and provide sign-off for existing and new products impacts within Murex while ensuring calculation of correct capital charge on a daily basis

Liaise and engage with all stakeholders i.e., Bank, Murex and IT to ensure requirements are delivered correctly and in timely manner

**Skills**:
Must have

Murex consultant with knowledge of both credit risk and market risk.

credit risk skills

CVA/PFE, MLC, and collateral management

Market Risk skills

VaR, SIMM, and FRTB

Nice to have

PFE, CVA configuration: Credit curves, PFE-CVA risk Configuration, Limit management.

MLC configuration: Risk, Static data, Limit, Engine, reset, LRB, EOD, Administration, Datamart,

LTS and EOD.

**Other**:
Languages

English: C1 Advanced

Seniority

Senior


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