Market Risk & Treasury Manager

About the role

Protiviti Middle East is seeking a seasoned quantitative risk professional to lead market risk, treasury, and derivatives pricing engagements for Saudi and Bahrain banking clients. The role blends deep technical expertise with strong people‑management skills, acting as a player‑coach who validates complex models while mentoring junior analysts.

Key responsibilities

• Lead and review model validation projects covering derivative pricing, XVA (CVA/DVA/FVA/MVA) and related regulatory frameworks.
• Oversee ALM and treasury workstreams, including ILAAP, ICAAP, and funds transfer pricing (FTP) curve construction and validation.
• Design, build, or validate bespoke quantitative models tailored to client needs.
• Manage, coach, and develop junior quantitative analysts, providing technical feedback and career guidance.
• Act as engagement manager: plan workstreams, allocate resources, and ensure delivery against timelines and quality standards.
• Serve as primary client contact, translating technical findings into clear business recommendations.
• Support proposal development, scoping, and business development activities.

Required profile

• Minimum 5 years of experience in market risk, treasury, or quantitative finance consulting.
• Proven ability to lead technical teams and manage client relationships.
• Strong analytical mindset with a track record of delivering high‑quality model validation.
• Excellent communication skills, both written and verbal.

Required skills

• Open Risk Engine (ORE)
• Market risk frameworks
• XVA, CVA, DVA, FVA, MVA
• ILAAP, ICAAP, FTP curve construction
• Calibration engines and back‑testing methodologies
• VaR, Expected Shortfall, Monte Carlo analytical frameworks
• Murex, ICE platforms
• Bespoke financial quantitative models and custom pricing tools
• Derivative pricing, ALM
• C#, VBA, Python, Java, C++