MUREX FRTB Risk BA
Posted on :
26-09-2022
Employer Active
1 Vacancy
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Jobs by Experience
0 - 8 years
Monthly Salary
SAR 11000 - 15000
Nationality
Any Nationality
Gender
N/A
Vacancy
1 Vacancy
Posted on :
26-09-2022
Job Description
Req ID : 1576406
- 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.)
Employment Type
Full Time
Company Industry
Department / Functional Area
Key Skills
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