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Position Objective
- To identify, measure, manage and report IRRBB and liquidity risk of the balance sheet (e.g. deposits segmentation and concentration).
- Highlight to Group Assets and Liabilities Committee (GALCO) and Group Board Risk Management Committee (GBRMC) the areas of risk and weaknesses.
Key Responsibilities
- To develop, review and refine market risk policies.
- Market risk policies include but not limited to: > Market Risk Management Framework and Policy > Liquidity Risk Management Framework and Policy > Contingency Funding Plan.
- To research, develop, review and refine behavioural risk models and assumptions for LCR, NSFR, IRRBB, Stress Test and ICAAP.
- Review and update market risk operational procedures/manuals.
- Provide regular ALM and liquidity risk reports to GALCO, GBRMC and Boards.
- 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 7 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.
