Keywords
EViews
SPSS (Software)
MATLAB
Risk Management
Skills
Proficient in MS Office: Excel, Word, & Powerpoint
Sound Knowledge of MATLAB, SPSS, R & EViews
Sound Knowledge of MATLAB, SPSS, R & EViews
Project history
Habib Metropolitan Bank ( Current Job)
Faysal Bank Limited
- To Provide assistance in the development of Enterprise Risk Management function.
- To Provide Key Contribution in annual revision and updating of Market Risk, Liquidity Risk, PD, Obligor Risk Rating, Facility Risk Rating and other Credit Risk models.
- To Provide relevant input regarding RMD recommendations in Investment /Financing proposals review
- Key role in assessing and interpreting data and information requests that are related to production of risk matters including Risk management Framework & ICAAP.
- Part of Project management team in the Impact Assessment & Implementation of IFRS 9 (with the support of Consultants.)
- Provide key input in Annual Risk Assessment incorporating of Market, Liquidity, Credit & operational Risk.
- Provide assistance in Group Risk IRRBB Project.
- Provide Assistance in the development of Risk Management Policies and Framework.
- Provide Assistance in the Implementation of Macro econometric stress testing on credit portfolios.
- Provide assistance in Validation and Backtesting of Market (VaR, FEEL, PVBP, LCR, NSFR & CAR) & Credit Risk (ORR, FRR, PD) Models.
- Consolidate Periodic reporting of Exposures against Board approved Risk Appetite & Other components (CAR Projections, Stress Testing etc) relative of Enterprise Risk to ALCO, BRCC & ORCC.
- Liaise with internal/external auditors for relevant reports and controls
Faysal Bank Limited
- Assist to manage and strengthen Treasury Middle Office & Market Risk functions.
- Key Contribution in Internal & Regulatory Stress testing.
- Lead project management team from ERM side and made interaction/ correspondence with respective stakeholders ( CRM, IT, RRM, Vendor & all Business and Administrative Units).
- Assist to manage and strengthen Treasury Middle Office & Market Risk functions.
- Key Contributions in the revision of VaR, Equity Obligor Risk Rating Model, Advance Stress Testing & calculation of PD using Excel, Access, Matlab, EViews & SPSS.
- Key Contribution in Internal & Regulatory Stress testing.
- Key Contribution in the Development & Implementation of Equity Risk Management Framework ( Individual Script Rating Model).
- Ensure timely monitoring of different FX, MM & Equity Limits along with Real Time Treasury Limit Monitoring through dashboard on intraday and EOD basis and escalation of exceptions as per the policy and guidelines (if any).
- Contribution in Periodic reporting of all treasury portfolios relative to all components of TMO & MRM for ALCO, ERMC & BRMC.
- Provide assistance in the calculation of LCR, NSFR as per SBP guidelines.
- Provide assistance in the implementation of Interest Rate Risk Management.
- Monitoring CRR, SLR & SCRR for both Islamic & Conventional Banking.
- Prepares Peer Group Analysis on various Financial ratios including performance of Treasury & Capital markets.
- Key Contribution in the preparation of Morning News briefings on Pakistan & International Economy on daily basis.
- Automation of various internal risk & valuation models and development (in progress) of internal database exclusively use for TMO & MRM.
- Liaise with internal/external auditors for relevant reports and controls.
- Provide relevant input regarding ERM recommendations in Investment proposals review.
- Interaction & Coordination with Capital management team to learn & acquire new skills pertains to Credit Risk Modeling (Altman Z score, PD, LGD & others) & Model Review on periodic basis, backtesting for model, various validation tools and calibration of internal risk rating results
- Monitoring of different FX limits and valuations i.e. FEEL, NOP, FX Gap and others.
- VaR for Equity and FX portfolio.
- Stress Testing and Management Action Trigger Report on SUKUK portfolio.
- Periodic reporting of all treasury portfolios relative to all components of Market Risks for ALCO, BRMC, MPR.
- Monitoring & Calculation of Equity Limits as per SBP requirements (PR-6)
- MTM, Concentration Profile, Realized and Unrealized Gain/Loss for Equity, scrip wise and sector wise for Equity & MM portfolio.
- ADR and behavior of Top 10 Borrowers and Depositors Maturities along with maturity profile.
- CRR and SLR monitoring on daily basis as prescribed by SBP Circulars.
- Assist in the calculation of Liquidity Stress Testing as prescribed by SBP.
- Contribution in working for Market Risk Capital Charge and other MCR/CAR working sheets.
- Key Contributor in automation of Risk reports on TMO internal system (designed with MS excel and MS Access/SQL) & Islamic Treasury Smart System.
- Key Contribution in implementation of Islamic Smart Treasury System & iMAL along with the various reports pertains to Treasury Middle Office.
Local Availability
Only available in these countries:
Pakistan
Anytime
