Murex Frtb Risk Ba
2 days ago
**Project** Description**:
**Responsibilities**:
- 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
- Capturing credit spreads for unrated counterparties
- Gap assessment (position gap, regulatory gap... etc.)
**Skills**:
Must have
Market Risk Aggregation (MRA) Murex > Enterprise risk > FRTB SA Business solution Murex > Enterprise risk > Historical VaR /Stress testing via market risk single report Murex > Enterprise risk > PFE/CVA (Potential Future Exposure/Credit Valuation Adjustment
Nice to have
- Hands on experience in MLC with exposure on counterparty risk, collateral management
- FRM/CFA certification will be added advantage
**Languages**:
English: C2 Proficient
**Seniority**:
Regular
**Relocation package**:
If needed, we can help you with relocation process.
Vacancy Specialization
Murex
Ref Number
VR-79250
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