Assistant Vice President, Asset Liability Management & Business Support
Assistant Vice President, Asset Liability Management & Business Support
alliance bank malaysia berhadFresher
- Posted 7 months ago
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Job Description
Asset Liability Management (ALM)
- Analysis and projection of interest rate risk in banking book (IRRBB) Earnings-at-risk and Economic Value of Equity (EVE) relative to risk thresholds
- Provide monthly and ad-hoc analysis on the key drivers of liquidity management of Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) relative to risk thresholds.
- Propose and review hedging strategies and hedge effectiveness under hedge accounting for managing interest rate risk in the Banking Book.
- Perform monthly performance attribution analysis on ALCO banking Book. This is based on FTP volume rate analysis.
- Undertake annual review of FTP framework and behavioral maturity of loan and deposit products for internal funding purpose.
- Review and validate the budgeted FTP assumptions used by Line of Business (LOBs) based on historical behavioral maturity.
- Review and update FTP framework policy to align to the bank's overall ALM strategy.
- Review monthly update on Treasury's bond portfolio risk exposure to management committees and board.
- Perform monthly risk-return performance attribution for bond portfolios.
- Review the hedging strategies and hedge effectiveness under hedge accounting for Treasury assets and liabilities
- Prepare ad-hoc reporting for Treasury activities based on request from Finance regulatory reporting team and Group Risk on information required.
- Act as contact person between GFM and the line of business in providing loan pricing guidance based on the FTP methodology
More Info
Key Skills
Earnings-at-risk
Hedge Effectiveness
Hedging Strategies
Performance Attribution Analysis
Risk-Return Performance Attribution
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