Market and Liquidity Risk

KEY RESPONSIBILITIES:

ALM and Market Risk

• Prepare daily and monthly risk reporting, commentary, and analysis. The scope includes market risk, liquidity gap, LCR, interest rate gap, counterparty credit risk, and ALCO pack.
• LCR monthly regulatory reporting
• Perform the risk forecast simulation; discuss risk findings and/or recommendations with Treasury.

Risk Governance

• Review and update the relevant policies and standard operating procedures.

Risk Projects

• Prepare the risk reporting infrastructure for new Treasury products.
• Perform UAT, validation and system implementations.
• Undertake ad-hoc projects and duties.

QUALIFICATIONS & EXPERIENCE:

• Bachelor or Master degree in Banking, Finance, Economics or Accounting with 5-7 years of experience in market risk, asset liability management, product control, financial control, or treasury audit.
• Knowledge of Treasury, Global Market, Balance Sheet, ALM and Risk Methodologies.
• Excellent knowledge of liquidity risk and regulatory framework (Basel III, LCR, NSFR)
• Strong product knowledge: FX, money market, fixed income, and derivatives.
• Experience in Risk Regulatory Reporting is desirable.
• Experience in Risk and P&L reporting. Excellent in writing commentary, analysis and preparing presentation materials.
• Knowledge about risk methodologies such as VaR, stress test, liquidity risk modelling, market risk methodologies, and financial modelling.
• Experience in process improvement, UAT and system implementation (familiarity to Murex or FIS System will be added advantage)
• CFA, CAIA, or FRM charterholder is a plus.