Senior Manager - Asset & Liability Management
3 days left
- Implement and maintain a consistent framework on interest rate risk of Banking Book ("IRRBB") and liquidity risk management and control process.
- Establish and review IRRBB and liquidity risk policies which are in line with the group practices.
- Lead the team to prepare, monitor and analyze IRRBB and / or liquidity risk reports (e.g. IRRBB, PV01, MCO, LCR, or NSFR) and ensure all exposures be properly captured in ALM system
- Lead the team to maintain the ALM system, develop user requirement in IRRBB and / or liquidity risk for system replacement and participate in new system acceptance tests
- Prepare presentation materials for monthly ALCO and quarterly RMC meetings
- Provide guidance and oversight to junior staff
- Work with Head Office to review the behavioralisation models applied in measuring IRRBB, liquidity risk, or FTP
- Be responsible for SDST and ICAAP in the area of IRRBB and / or liquidity risk including relevant ICAAP stress tests
- Degree holder in risk management, finance, business or related subject and Master's degree holder in a relevant subject is preferred.
- TMA membership is required.
- FRM / CFA or CPA membership is preferred
- At least 7 - 12 years of relevant working experiences in Interest Rate Risk/ Asset & Liability Management
- Knowledge in Asset & Liability Management system and familiar with SQL are preferred