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Job Purposes
- To develop behavioral models for IRRBB for Affin Bank Group (ABG).
- To measure, manage and report the IRRBB of banking entities of ABG.
- To implement and review Contingency Funding Plan for liquidity risk management and Recovery Planning.
Job Responsibilities
- To develop, review and refine market risk policies for Banking Book and liquidity risk management.
- To identify, measure and manage IRRBB and liquidity risk of the balance sheet (e.g. deposits segmentation and concentration). Highlight to management the areas of risk and weaknesses.
- To research, develop, review and refine behavioural models and assumptions for LCR, NSFR, IRRBB, Stress Test and ICAAP.
- Review and update market risk policies and procedures manuals.
- Act as a source of independent technical knowledge for the Group on matters pertaining to market risk policies and market risk analytics.
- Provide relevant and timely information to facilitate audit exercise/investigations conducted by Group Internal Audit, external audit, Group Compliance and BNM.
Job Requirements
- Possess a degree in Finance, Economics, Mathematics, Actuarial Science or other relevant fields.
- Minimum 5 years working experience in ALM and liquidity risk management with good experience in risk analytics.
- Excellent oral and written communication skills in English with strong presentation skills.
- Independent, self-motivated, resourceful and excellent interpersonal skills.
- Strong team leadership, managerial and facilitation skills.
