Job description

The Senior Manager – Market Risk Models role sits within the Market Risk function of the Risk Management Department and is responsible for monitoring, reporting, and modelling market risk and all related quantitative risk models including PRRBB, PFE, VaR, XVA, and pricing models. The role encompasses building stress test scenarios, supporting liquidity risk frameworks, and providing due diligence support to Treasury, Capital Markets, and Asset and Liability Management activities. The position requires leadership in the development, enhancement, validation, and maintenance of advanced market risk models while recommending continuous improvements to the overall risk management framework. The role demands strong quantitative capabilities, advanced proficiency in IT and data analytics, and deep expertise in market risk management and modelling techniques. A key mandate is ensuring compliance with international regulatory standards such as Basel III as well as local regulatory frameworks including MMS and MMG, while embedding best practices, discipline, and robust controls across the market risk function. The Senior Manager is expected to internalize specialist knowledge often sourced from external consultants, build sustainable in-house expertise, reduce third-party dependency, and introduce innovation and efficiency through advanced quantitative methods, scalable IT-driven solutions, and automation. The role contributes to strategic decision-making through high-value analytical insights, model governance, regulatory interactions, capital optimization initiatives, collateral management, enterprise risk analytics, and the enhancement of market liquidity and counterparty credit risk frameworks across asset classes.