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Position Objective
- Ensure that there is an effective and efficient management of the bank's market risk across the Group.
- Support the Head of Group Market Risk in overseeing and managing department's treasury risk control and market risk functions.
- Provide a comprehensive market risk analysis and assessment that can assist in decision making and controls setup.
Key Responsibilities
- To generate trading and investment risk reports timely and accurately.
- To perform daily analysis of market risk exposures and sensitivities, as well as limit monitoring for all treasury products (i.e., fixed income securities, FX, interest rate and FX derivatives).
- To generate VaR, stress testing and backtesting reports, including ICAAP and regulatory stress test.
- To prepare monthly reports, ALCO report, market risk capital charge report and management executive summary for trading and investment book.
- To work with front office traders/dealers, business management support, IT, Group Finance and Back Office on issues related to market risk.
- To develop and enhance market risk monitoring tools and reports.
- To participate in projects, process change, treasury system UAT and new product testing.
- To assist in timely review of market risk limits, policies, guidelines and risk governance process to ensure adherence to market risk framework
Skills/Knowledge
- Degree with major in Risk Management, Financial Engineering, Quantitative Finance/Economics, Actuarial, Statistics, Engineering or related discipline.
- Ideally someone with more than 7 years of experience within market risk or trading risk management.
- Knowledge of treasury product pricing, market risk methodology and trading risk attribution.
- Strong quantitative skills, IT savvy with good technical/ analytic mindset, possession of good communication and problem-solving skills.
- A self-starter, ability to work independently and a dynamic team player. Ability to multi-task and work well under pressure with commitment to deliver
- Excellent oral and written communication skills in English with strong presentation skills.
