Market Risk Manager

3 weeks ago

Abu Dhabi, Abu Dhabi, United Arab Emirates QCP Full time

FABs Global Markets division is a complex multidisciplinary business which requires constant innovation to remain competitive. The Trading & Investments team, which is a core function within the Global Markets Franchise, is a high performing business and offers an extensive range of tailor-made and strategic solutions products and services to meet the needs of customers worldwide.

This position will be based in UAE sitting within the FO Quant Team.

Job Purpose:

The Global Markets Front Office Quantitative team is integral to supporting the Trading & Investment business by developing quantitative models, providing insights and enhancing trading strategies within the global markets division. This role focuses on applying advanced quantitative methods to analyze, model, and optimize financial products and strategies across asset classes. It aims to drive profitability, manage risk effectively, and ensure compliance with regulatory requirements.

Key Responsibilities & Accountabilities include:

Quantitative Modelling and Analytics

  • Develop and implement pricing models for various asset classes (e.g., equities, fixed income, FX, commodities).
  • Perform in-depth analysis of market trends, volatility, and other risk factors to support trading strategies.
  • Create and enhance algorithms for automated trading and risk management.

Product and Strategy Development

  • Collaborate closely with traders and structurers to design and refine trading strategies.
  • Analyse new products and help determine the quantitative methodologies required for pricing and risk assessment.
  • Conduct scenario analysis and stress testing to assess strategy robustness under different market conditions.

Risk Management and Optimization

  • Work with risk management teams to quantify and manage risks associated with trading activities.
  • Optimize portfolios and trading strategies to enhance returns while adhering to risk and capital constraints.
  • Develop tools to improve trading efficiency and risk-adjusted returns.

Technology and Infrastructure

  • Build, test, and deploy software tools and libraries for pricing, hedging, and risk management.
  • Maintain and improve front office analytical tools, ensuring accuracy, scalability, and performance.
  • Collaborate with IT and data teams to access and integrate necessary data sources.

Regulatory Compliance and Reporting

  • Ensure adherence to internal policies and regulatory standards relevant to trading activities and model usage.
  • Document quantitative methodologies for internal audits, regulatory reviews, and model validation processes.
  • Participate in model validation exercises, ensuring transparency and clarity in quantitative models.
  • Liaise with global teams including trading, risk management, structuring, technology, and compliance to align on strategy and support broader business objectives.

Participate in continuous learning initiatives and knowledge sharing sessions internally.

  • Work closely with trading teams in refining and calibrating pricing and valuation curves.
  • Know and understand pricing constructs and modelling of global markets products.
  • Responsible for adhering to assigned risk limits.
  • Responsible for meeting business objectives set by the relevant Desk Head.
  • Ensure compliance with all appropriate limits including counterparty limits.
  • Identify and analyse new product and currency opportunities.
  • Ensure swift and consistent pricing to all internal customers.
  • Expand counterparty awareness of our capabilities to attract new flows and limits.
  • Ensure learning framework in place for team members to develop with appropriate teaching schedule and courses.
  • Ensure new and existing curves, frameworks, systems development, and processes are fit for purpose and are aligned with market best practices.
  • Interact with internal colleagues to help develop synergies and spread knowledge.
  • Participate in improving reliability and efficiency of reporting.
  • Lead and mentor junior staff.

Qualifications:

Minimum Qualification:

  • Bachelor's degree in finance, accounting, economics, commerce, or related discipline and engineering background in applied mathematics or physics.

Additional Information:

  • Minimum of 6 years relevant markets experience in similar positions.
  • A strong understanding of global markets products, financial instruments, market dynamics, and economic principles across asset classes.
  • Strong background in quantitative modelling, statistical analysis, and applied mathematics for financial markets.
  • Solid experience with risk management and pricing tools as well as experience with financial libraries.
  • Knowledge of relevant regulations and jurisdictions and compliance requirements.
  • Proven track record on managing risk effectively and delivering consistent financial performance.
  • Strong interpersonal skills.
  • Strong analytical background.

Self-starter who shows initiative and is able to problem solve & work with stakeholders confidently.

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