Senior Risk Management Specialist
Islamic Development Bank
Total years of experience :18 years, 1 Months
• Adoption and implementation of Asset and Liability Management Framework and associated Risk Policies.
• Formulation and review of ALM Guidelines and Hedging (Swap) Guidelines.
• Review of Liquidity Policy and Liquidity Risk Management Guidelines.
• Enhancement and standardization of ALCO Pack and ALM risk reporting.
• Coordinated with ALCO members on Liquidity Risk and IRRBB related issues.
• Review of bank’s Income Policy and Pricing Policy.
• Review of Liquidity Policy and Risk Policies of ICD, ITFC and other group entities.
• Managing Middle Office and reporting Market and Liquidity Risk positions.
• Monitoring of Misys reports and periodic reporting to GRMC.
• Performing Sukuk Valuation for Swaps using Bloomberg terminal.
• Representing Middle Office on market risk related issues in Group Risk Management Committee (GRMC).
• Maintaining and updating the static data e.g. credit ratings and limits in Misys.
• Creation of new and maintenance of existing Treasury Counterparties, Instruments, Funds in Misys.
• Facilitate Treasury Credit Risk Limit review process by providing the necessary data from Misys to the Credit team.
• Ensuring Treasury Counterparty Compliance and Credit Limit monitoring and reporting.
• Facilitating ALCO Pack generation using Contingency Solution.
• Working closely with ITD and other relevant business for data governance and process streamlining.
• Participating in Technical Working Group (TWG) for formulation of yearly Resource Mobilization Plan.
• Participating in conducting Annual Credit-adjusted Liquidity Stress Tests exercise.
• Participation in Business Resource Committee (BRC) for bank-wide data and reporting standardization.
• Liaising with Group Internal Audit on Market and Liquidity Risk related issues and observations for their resolutions.
• Facilitating the core implementation team in ERM selection, requirement formulation and implementation process.
• Presenting movements in Market and Liquidity Risk to Country ALCO and Country Risk Committee “CRC”.
• Representing Market and Traded Credit Risk Unit in Operational Risk Committee “BORF”.
• Ensuring adequacy and timely reporting to Country’s Senior Management and MENAP Regional Management.
• Conducting Annual and ad-hoc reviews of Market risk and Liquidity Risk limits for the ALM desk, FX Trading desk and Rates desk.
• Pre-approving temporary limit increases based on the business rationale provided by Financial Markets team on case to case basis and having these post-facto ratified by Executive Risk Committee (ERC) and notified to ALCO.
• Calculation of daily Value-at-Risk (VAR) using Historical Simulation on entire Banking Book and FX Trading desk.
• Calculation of currency-wise as well as time bucket-wise PV01 on daily basis.
• Generation of Daily Liquidity Risk Report (DLRR) and Daily Risk Report (DRR) for Group.
• Monitoring limit utilizations and escalating and excess-over limits to senior management.
• Daily monitoring of trading activities in the light of Market and Traded Credit Risk policies.
• Reporting of any Market and Liquidity risk limits to ALCO and Executive Risk Committee (ERC) along with the nature of breach, remedial action taken (if any) and the expected time for limit regularization.
• Producing reports for senior management using OPICS. FERMAT/INSIGHT and Regional Reporting portal.
• Ensuring alignment of in country practices along with Group initiatives and advancements.
• Contribution in formulation of ICAAP document by calculation of Economic Capital for Market Risk.
• Performing annual Haircut Analysis using price volatility data for securities.
• Conducting 8-Day Name Specific Stress Test on daily basis and 3-Month Market-wide Stress on monthly basis.
• Conducting 8-Day Cross Currency Convertibility Stress for liquid and illiquid currencies on daily basis.
• Conducting Liquidity Realization testing on assets held by ALM desk on annual basis.
• Reviewing and back-testing liquidity haircuts based on market trading volume data and internal statistical models.
Policies and Procedures: -
• Developed Risk Management policy and comprehensive process manual.
• Reviewed Treasury policy, Contingency Funding Plan (CFP), Financial-Institutions policy, Credit policy, CAD & SAM policy.
Credit Risk and Portfolio Management: -
• Conducted credit proposal evaluation, approval and review for Corporate customers.
• Conducted credit portfolio analyses; Profitability, Sectorial, Score-Distribution, Rating Transition, Infection, Cost-of-Funds and Stress Testing.
• Developed Internal Risk Rating System Obligor Risk Rating (ORR), Facility Risk Rating (FRR) and Financial Institutions (FI) models.
Operational Risk: -
• Established Operational Risk Management unit.
• Formulated Operational Risk Implementation Framework and led its Implementation.
• Prepared Business Process Flows, documented and analyzed.
• Developed Key Risk Indicators (KRI) and Risk Control Self-Assessments (RCSA).
• Revised and tested Business Continuity Plan (BCP) and Disaster Recovery Plan (DRP).
Basel II Implementation: -
• Initiated implementation of Basel II advanced approaches for credit, market and operational risk.
• Initiated Internal Capital Adequacy Assessment Process (ICAAP).
• Developed and proposed approach for calculation of Probability of Default (PD) using statistical methods for IRB approaches.
System Implementation: -
• Participated in implementation of risk management solution Oracle Reveleus; including modules CCRA, RCRA, MR, BASEL II, ALM and ROR.
• Ensured end-to-end integration between source systems i.e. Oracle Treasury, Oracle Financials, Siebel with Reveleus.
Market Risk and Treasury Middle Office: -
• Calculated Portfolio as well as Incremental Value-at-Risk (VAR) using Monte Carlo, Variance Covariance and Historical Simulation approaches.
• Reviewed and monitored investment portfolios and applicable limits.
• Conducted Performance & Profitability, Liquidity ratios & position analyses for senior management.
Operational Risk and Internal Controls: -
• Formulated monthly Key Risk Indicators and compiled semi-annual Operational Loss Database.
• Participated in mapping of Bank’s Income to eight business lines for Operational Risk standardized approach.
• Conducted RCSA sessions for assessment of Enterprise-wide Operational Risks.
Basel II and System Implementation: -
• Calculated Capital Adequacy ratio using standardized approaches of Credit, Market and Basic Indicator Approach for Operational Risk.
• Conducted system GAP analysis on legacy system SYMBOLS for advanced approaches under Basel II.
• Compiled Business Requirements and laid-down the Request for Proposal (RFP) for the system selection process.
• Assessed various Risk Management and Business Systems SAS, SAP, FERMAT, REVELEUS, BANKOLOGY, Alchemy etc.
Market Risk and Treasury Middle Office: -
• Conducted Value at Risk (VAR) analysis on Trading Book Capital Markets exposures using Historical Simulation and Variance Covariance approaches.
• Conducted analysis and generated ALM reports for assessment of Interest rate risk and Liquidity risk.
• Monitored Treasury and Capital Market limits through maintaining excel based “Daily TMO Book”.
Credit Risk and Portfolio Management: -
• Reviewed Credit Risk Rating Models for Corporate, Commercial, and FI Customers.
Policy and Procedures: -
• Evaluated various policies such as Risk Management policy, Credit Approval policies and Treasury Manual in compliance with Basel II.
Management Reporting: -
• Initiated various business and management reports using Oracle Knowledge Manager with IT department.
Market Risk and Treasury Middle Office: -
• Established Treasury Middle Office and initiated limit monitoring for FX, MM and Equity portfolio.
• Established Asset & Liability Management Unit and conducted analyses e.g. NII, NPV, MVE, DGAP.
• Reviewed the Contingency Funding Plan (CFP) prepared by Treasury Department.
• Evaluated the existing Fund Transfer Pricing (FTP) mechanism and suggested for improvements.
• Calculated Value at Risk (VAR) based on Historical Simulation and Variance Covariance Techniques.
Policies and Procedures: -
• Prepared comprehensive Market and Liquidity Risk policy, along with Risk Process manual and reports.
Basel II and System Implementation: -
• Participated in SAS Implementation and Risk Automation project for Probability of Default (PD) calculation.
• Basel II Gap Analysis Report for standardized and advanced approaches.
• Calculated Capital Adequacy ratio using standardized approaches of Credit, Market and Basic Indicator Approach for Operational Risk.
• Prepared a thorough Request for Proposal (RFP) document for system selection.
• Facilitated the vendors in implementing complex financial and risk management models into the system.
Financial Reporting and Analysis: -
• Conducted Stress Testing on bank wide portfolio and frequent submission to SBP.
• Performed Back-Testing and Trend analysis of estimated P&L (Profit and Loss) against realized P&L.
• Analyzed strategic investment in Bank Al-Jazira (BAJ) and alternative strategies.
• Analyzed performance of derivative deals e.g. Interest Rate Swap (IRS) and Forward Rate Agreements (FRA).
Major courses include Advanced Portfolio Management, Financial Economics, Financial Engineering & Risk Management, Industrial Economics, Development Economics, Public Economics, Econometrics 1 & 2, Micro Economics 1 & 2, Macro Economics 1 & 2.
6 week internship in Finance department at HINO Pak Motors Ltd. Major courses include Corporate Finance, Investment Banking, Treasury and Funds Management, Marketing Management, Managerial Policy, Marketing Business Research
6 week internship at Unilevers Pakistan. Major courses include Customer relationship management, Enterprise resource planning, Business process re-engineering, Operational Research, Automata, Data structures, Modern software development environment.