Head of Market Risk

About the role

The Head of Market Risk leads the bank’s market risk function, designing and maintaining a comprehensive risk management framework. Reporting to the Chief Risk Officer, the role oversees identification, measurement, monitoring, control, mitigation and reporting of market risk exposures in line with internal policies and Bank of Mauritius guidelines.

Key responsibilities

• Day‑to‑day monitoring and control of market risk across FX, interest rate, equity, commodities and other asset classes.
• Develop and communicate market and liquidity risk appetite and monitoring reports.
• Manage credit counter‑party risk through margin utilisation.
• Analyse liquidity measures, produce liquidity risk reports and ensure regulatory reporting to the Bank of Mauritius.
• Perform value‑at‑risk analysis, back‑testing and stress‑testing, and present results to executive committees and the Board.
• Maintain and review internal market‑risk policies and ensure compliance with industry best practices.
• Coordinate preparation of regulatory liquidity reports using data from Treasury, Finance and other departments.
• Support Asset‑Liability Committee reporting and review daily FX and bonds mark‑to‑market processes.
• Lead the market‑risk team, manage the department budget and drive cost‑efficient risk mitigation.
• Engage with product development and business units to embed risk management into new initiatives.

Required profile

• Leadership experience in a market‑risk function within a banking environment.
• Proven ability to mentor and develop risk‑management teams.
• Strong stakeholder engagement skills with senior management and board committees.
• Accountability for financial performance of the risk department.

Required skills