Deputy Manager to Manager, IRRBB, ALM

Industrial and Commercial Bank of China (Asia) Limited
Hong Kong, Hong Kong
Dec 06, 2022
Dec 07, 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Job Responsibilities
  • Monitor and analyse day-to-day risk monitoring reports. Perform ad hoc analysis as and when required
  • Implement the Interest Rate Risk stress test scenarios, both for regular, regulatory requirement or ad Hoc stress testing, and regular review on suitability and appropriateness of methodologies, parameters and scenario settings
  • Conduct annual review on behavioral models, both on the model assumptions and calibration using SAS
  • Involve in related system enhancement / implementation of new regulatory standards, provide users specification and requirements and conduct UAT
  • Perform update and review on the operational manual related to day to day reports.
  • Assist in the implementation of Base requirement of Effective Risk Data Aggregation and Risk Reporting (ie RDARR)

Job Requirements
  • Degree holder in Finance, Quantitative Analysis, Accounting, Economics or related disciplines;
  • Minimum 4 years' experience in the banking industry preferably with relevant experience in Banking Book Interest Rate Risk Management and Asset Liability Management (ALM)
  • Professional qualification in FRM or equivalent will be an advantage
  • Sound knowledge in general banking activities, treasury business and financial products and regulatory requirements on SPM IR-1 Interest Rate Risk in the Banking Book
  • Proficient Good command of MS Office and computer analytic applications such as SAS, VBA, Bloomberg, knowledge in Yield Book will be an advantage
  • Self-motivated and willing to work under pressure
  • Fluent Mandarin, English and Cantonese in both oral communication and writing

- Bachelor Degree or above


- 4 to 6 years of relevant experience

Knowledge & Skills
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