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AVP Interest Rate Risk, Large Chinese Bank

Hong Kong, Hong Kong
HKD70000 - HKD85000 per month
Closing date
Mar 20, 2024

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time

Our client - a well-established Large Chinese bank is hiring an experienced Interest Rate Risk AVP/VP to join their risk management team to monitor interest rate risk for the bank.

  • Mainly responsible for IRRBB, risk data aggregation and risk reporting duties
  • Monitor and analyze daily risk monitoring reports and conducting additional analysis as needed.
  • Conduct stress tests for interest rate risk, both for regular regulatory requirements and ad hoc testing, and regularly evaluate and ensure the appropriateness of methodologies, parameters, and scenario settings.
  • Annually review behavioral models, including assessing model assumptions and calibration using SAS.
  • Participate in system enhancements and the implementation of regulatory standards and new risk management infrastructure in accordance with head office requirements. This includes providing user specifications and requirements, communicating with developers, conducting user acceptance testing (UAT), and maintaining the system on an ongoing basis.
  • Update and review the operational manual pertaining to daily reports.

  • Bachelor's Degree holder in Banking/Risk Management/Statistics is preferred
  • 7-10+ years of Interest Rate Risk experience in the banking industry
  • FRM, CFA & CPA or equivalent will be an advantage
  • Sound knowledge in general banking activities, treasury business and financial products and latest regulatory requirements on Banking Book Interest Rate Risk Management
  • Good command of MS Office and computer analytic applications such as SAS, VBA, Bloomberg, Reuters, knowledge in Yield Book will be an advantage
  • Fluent in Mandarin, English and Cantonese

If you believe you have the relevant skill and experience and is interested in this position, kindly

get in touch with Krystal Chun at with your CV and contact details or call +852 3653 5474 to engage in a confidential discussion.

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