Assistant General Manager, Market Risk and Liquidity Modeling

Accountabilities

Provide liquidity risk management, interest rate risk management and related model validation and analytics support
Perform daily / on-going risk reporting, analysis, stress testing and contribute to the continuous improvement of the reports in order to effectively communicate liquidity and interest risk to senior management and committees
Participate in IRRBB, Initial Margining and/or other regulatory related works
Work closely with business on their daily activities and development of new products and business initiatives
Participate in the implementation of enhanced risk management framework to ensure risks are holistically measured
Take lead on the revision of existing risk policies and documentations to ensure compliance with regulatory and market standard
Provide specification of user requirements and prototyping and perform User Acceptance Test in the development of new risk management infrastructure
Identify areas of improvement to simplify work process, thereby increasing efficiency and effectiveness, delivering more quality information for decision making and reducing audit findings and operational incidences
Lead a small team by providing training and coaching to allow growth and success

Requirements

Degree holder in finance, risk management, engineering, quantitative or related disciplines
Minimum 10 years' market experience in most of the risk management areas such as liquidity risk and interest rate risk, with at least 5 years' in managerial level
Solid knowledge in risk management governance and framework including policy designs and enhancement, limit assessment, limit approval etc.
Good understanding on the features and benefits of fixed income, interest rate, FX, treasury and/or associated derivative products for investment banking, commercial banking and/or retail banking
Prior experience in areas of improvement to simplify work process, increasing efficiency and effectiveness, delivering more quality information for decision making and reducing audit findings and operational incidences
Sound knowledge in statistical and quantitative analysis.
Professional Qualification like CSTMP, FRM, CFA, ACCA is treated as a plus

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