Head of Market risk & Basel Unit
Qatar International Islamic Bank
مجموع سنوات الخبرة :18 years, 6 أشهر
- Deputy Manager Market Risk & Basel
Implementation
• Market risk management best practice
- Prepare market risk management policy and other related policies (Liquidity risk management policy) .
- Review Treasury & Investment department 's policies ( Currency Management Policy, Liquidity Management Policy, Financial Crisis Management Policy, Investment Policy and Countries & Counterparties Ceilings Policy)
- Review and Checking Treasury and Investment Department's Procedures (FX Dealing Procedures, Deal Controls, Correspondent Bank Procedures, FX Rate Input Procedures )
- Monitor market risk appetite and report any breaching for limits.
- Analyze and approve the exposure to foreign countries report before submit to QCB.
- Monitor real estate investment limit report according to QCB regulations.
- Prepare securities portfolio report (Sukuk and equity) to the Bank's Risk Committee.
- Analyze the bank liquidity position including the calculation of liquidity risk capital charge and review Basel III liquidity ratios (LCR, NSFR).
- Conduct all market risk and liquidity stress testing scenarios according to Qatar Central Bank regulations and submit the results to QCB and the Bank's Risk Committee.
- Market Risk Measurement :
- Value at Risk (VaR) for equity and debt portfolio using both Historical and Variance - Covariance approaches.
- Value at Risk (VaR) for FX both Historical and Variance - Covariance approaches.
- Interest rate sensitivity measurement (Duration) for debt portfolio.
- Earning and capital based approach to measure the effect of changing in the interest rate 200bps (For Banking Book).
- On daily basis:
- Analyze the FX positions and report any breaching for the approved utilize limits or for limits as per new QCB FX Circular.
- Monitor and report any breaching for the approved limits for the placements with counterparty.
- Checking the daily applied FX rate on the core banking and branches level comparing with prices from Reuters.
- Investigate FX losses with other concerned department (i.e. back Office / Front Office and Financial or IT department )
- Matching Deals Blotter from Treasury Front office and all executed deals from Treasury Back Office and ensure that all deals are executed based on the approved authority level.
- Study Treasury and Investment Department's proposals (i.e. investment in funds, Sukuk, shares and Real Estate amendment of the approved limits) and make the necessarily recommendations.
- Calculating and analyzing bank’s financial ratios using CAMEL rating methods
Conduct comprehensive and sophisticated Internal Capital Adequacy Assessment Process (ICAAP) according to Qatar Central Bank (QCB) and Basel regulations using both qualitative and quantitative assessments.
• Start the preparing for the new QCB guidelines for ICAAP and Capital Plan.
• Coordinate with QCB, the External Auditors (EY) and the CRO for any actions or amendments on the bank's ICAAP methodology.
• Review the Capital Plan according to QCB regulations with coordination with CFO.
• Recommend the necessity of increasing the capital for the next five years based on Basel III, Pillar II (ICAAP) and Financial Projections results.
• Periodic assessment of the risk profile (Universe Risk Metrix) based on the impact and the likelihood of risks factors.
• Member of team, including HR department, for implementing risk based compensation as one of ICAAP requirement
• Periodic review of the bank's ICAAP Policy and other related policies (i.e. Stress Testing Policy, Capital Management Policy, and Compensation Risk Adjusted Policy) to be approved by BoD.
• Prepare Risk Appetite Policy including Risk Appetite Statements to be approved by BoD.
• Conduct all Stress Testing Scenarios according to QCB regulations
• Start the preparation to implement the IFSR9 according to QCB new regulations (Calculating EL, PD, EAD and LGD using Point -in - time approach)
•Calculating the capital adequacy ratio on consolidated base and for the bank’s abroad branches according to CBJ (Central Bank of Jordan) requirements .In addition, to the CBK (Central Bank of Kuwait) requirements.
• Preparing bank’s methodology for the internal capital adequacy assessment process (ICAAP (, including calculating the additional internal capital required for the residual risk under the ICAAP.
•Implementing of pillar 3 disclosures (market discipline) according to CBK requirement.
•Analyzing the bank’s current capital under Basel II.
•Implementing the new requirements within Basel III including the new buffers and deductions. Moreover, calculating liquidity ratios under Basel III (LCR, NSFR).
•Implementing stress testing scenarios for the various types of risk according to CBJ regulations.
•Formulation and preparing the following polices for the CBJ:
-ICAAP policy
-Stress test policy
-Liquidity risk policy
-Liquidity contingency plan
-Interest rate risk
•- Market risk officer: Carrying out the following tasks
Monitoring and Reporting the daily transactions within money & capital markets to the GM.
•Monitoring and Reporting the discipline to the investment policy and any breach to ALCO on a monthly base.
•Monitoring the treasury department’s operations such as (coupon redemptions, FX swaps, forwards, Margin and futures)on a daily base and making the necessary reports.
Evaluating the currency position to ensure the adherence to CBJ’s ratios in this regard .
•Under Liquidity risk the following tasks:
Calculate the liquidity ratios.
Maturity gap ladder.
•Under Interest rate risk the following tasks
Prepare Re - pricing gap analysis (interest rate sensitivity analysis).
Calculate the effect of Earning at Risk (EAR) on the regulatory capital.
Determine new measurements of interest rate risk (Duration, Modified Duration, Convexity).Under the Value at Risk “VAR”:
Calculating Equity VAR for the bank investment portfolioCalculating the FX VAR
Credit Cards Section (Master card) as a Customer Service Officer
My Activities were covering:
• Dealing with securities market (shares market).
• Dealing with customers.
• Manage card operations.
• Operate teller for cards payments (cash, cheques, standings orders).