Market & Liquidity Risk Manager

About the role

The Market & Liquidity Risk Manager will provide independent oversight of market, liquidity, interest‑rate risk in the banking book (IRRBB) and asset‑liability management across the banking group. Reporting to the Head of Risk, the role shapes the integrated balance‑sheet risk framework, ensures regulatory compliance and delivers analytical insights to senior committees and the Board.

Key responsibilities

• Assist in developing and implementing the Group’s Market, Liquidity and ALM risk frameworks, policies and controls.
• Ensure consistent application of the framework across all entities, adapting to local regulations where required.
• Prepare and present risk reports for the High Asset‑Liability Committee, Group Risk Committee and Board.
• Act as the subject‑matter expert for market, liquidity and IRRBB, reviewing portfolios and risk data in collaboration with treasury.
• Monitor IRRBB metrics (EaR, EVE, NII sensitivity) and enforce internal and regulatory limits.
• Oversee the Funds Transfer Pricing framework and assess the impact of business strategies on balance‑sheet and net interest income.
• Lead market‑risk measurement, model validation, back‑testing and challenge trading strategies.
• Manage liquidity metrics (LCR, NSFR), stress‑test the Contingency Funding Plan and monitor funding mismatches.
• Stay current with Basel III/IV, IRRBB, ICAAP and related regulatory requirements.

Required profile

• Extensive experience in banking risk management, covering market, liquidity and ALM risk.
• Strong knowledge of Basel III/IV, IRRBB standards, ICAAP/Ilaap processes and regulatory reporting.
• Proven ability to analyse complex risk data, produce high‑quality reports and communicate findings to senior management.
• Excellent analytical and quantitative skills with a detail‑oriented approach.

Required skills