Chief, Market Risk

About the role

Chief, Market Risk reporting to the Director General, Risk Management, is responsible for leading liquidity and market risk management, including assessing, monitoring and reporting of these risks in line with the Bank's policies and guidelines. The role also requires periodic benchmarking of the bank's market and liquidity risk management framework against best and emerging practices to enhance controls and mitigate potential market and liquidity risks.

Key responsibilities

• Develop, implement and manage the risk management framework, models and methodologies for assessing and mitigating market and liquidity risks.
• Monitor the Bank's risk appetite for major market risks and contribute to asset/liability allocation.
• Propose, monitor and update key market risk indicators and implement corrective actions.
• Develop stress‑testing models to measure the impact of market and liquidity risk on operations.
• Model key market risk factors such as interest rates, foreign exchange and equity risks.
• Conduct assessments on single‑trade and add‑up positions of the treasury business.
• Analyse and report on the Bank's liquidity position and monitor early‑warning indicators.
• Continuously review and improve risk appetite, management practices and models.
• Maintain reporting on market risk exposure for Board and committee consideration.
• Identify and manage emerging risks to which the Bank could be exposed.
• Perform regular operations for economic capital, value‑at‑risk, expected shortfall and liquidity risk measurement.
• Validate periodic valuations of market portfolios.
• Coordinate with internal teams to establish efficient risk‑management information exchange.
• Develop market‑risk tools, training modules, systems and documentation.
• Support the Director General in overseeing Credit Risk and Operational Risk as needed.
• Coach and develop the risk team to ensure continuous learning.

Required profile

• Master's degree or equivalent in economics, finance, engineering, mathematics, statistics, computational sciences or a related field.
• Additional qualifications such as a PhD, academic publications or globally recognised certifications are a plus.
• Minimum 12 years of post‑qualification experience in a multilateral development bank or comparable regulated financial institution, with hands‑on responsibility for market and liquidity risk management.
• In‑depth knowledge of market and liquidity risk practices, standards and quantification tools (gap analysis, NII simulations, EVE, VaR, etc.).
• Strong quantitative and qualitative analytical skills with experience in modelling and coding.
• Leadership and managerial experience managing a diverse workforce.
• Experience in other risk areas, especially Credit Risk and Operational Risk, is highly desirable.
• Proven ability to work in a multicultural environment and foster teamwork.

Required skills

• Liquidity risk management
• Market risk management
• Stress‑testing models
• Modelling and coding
• Gap analysis
• Net interest income (NII) simulations
• Economic capital measurement
• Value‑at‑risk (VaR)
• Expected shortfall
• Economic value of equity (EVE) simulations
• Interest‑rate (yield‑curve and spread) modelling
• Foreign‑exchange risk modelling
• Equity risk modelling