About the Role
As a Lead Manager for Market, Interest Rate & Liquidity Risk, you will be responsible for the oversight, measurement, and management of interest rate risk arising from the bank's assets and liabilities, ensuring that the bank complies with regulatory frameworks (such as Basel and BNM policies) while optimizing the net interest income (NII) and the economic value of equity (EVE).
Responsibilities
- Measure IRRBB exposure using EVE (Economic Value of Equity) and NII (Net Interest Income) metrics.
- Develop and maintain models for non-maturity deposits (NMDs), loan prepayments, and early redemption behaviors.
- Design and execute periodic stress tests and scenario analyses, including regulatory shock scenarios.
- Ensure the accuracy of ALM data inputs, cash flow calculations, and balance sheet assumptions.
- Ensure strict compliance with BNM IRRBB standards and regulatory reporting requirements.
- Update and maintain the bank's IRRBB framework, risk appetite statements, and limit structures.
- Act as the primary point of contact for internal auditors, external auditors, and regulatory regulators regarding IRRBB.
- Planning and implementation to improve the work process, risk methodology, limit setting and analytical model to ensure the appropriateness and robustness of interest rate risk management policies and procedures.
- Lead and manage the implementation of new interest rate risk management policies and procedures requirement from regulatory and parent bank including ensuring its compliance.
- Oversight interest rate risk metrics, limits usage, report excesses, projections and risk escalation process to senior management and committee, parent bank and regulator.
- Conduct risk assessment on new business initiatives or products from interest rate risk perspective.
What we're looking for
- Bachelor Degree in Risk Management, Financial Engineering, Quantitative Finance, Economics, Banking & Finance, Actuarial Science or related discipline.
- Professional qualifications such as CFA, FRM or PRM is highly desirable.
- Programming skills in Excel VBA/Python will be advantageous.
- Experience of at least 5 years in either market risk or interest rate risk or treasury business related risk management.
- Strong quantitative, analytic and problem-solving skills
- Strong work ethic, commitment, leadership and coaching skill
- Able to work independently and good communication skill
- Good knowledge of treasury products
- Strong analytical and quantitative skills
- Proficiency in IT skills i.e. MS Excel/Access, Python, Bloomberg
- Fluent in English and Mandarin
What we offer
- Competitive salary and performance-based bonuses
- Comprehensive benefits package including health insurance and pension contributions
- Ongoing training and development opportunities to support your career growth
Apply now to join our dynamic team and take the next step in your banking career.
