Job Summary

To conduct the analysis, monitoring and assessment on a wide array of market risk aspects and asset & liability management (ALM), including valuation, stress testing and financial modelling of bank’s assets and liabilities.

Key Accountabilities

• Develop, implement and maintain market risk models to facilitate effective assessment and monitoring of an array of risks including interest rate risk, credit spread risk, basis risk among others. Review, validate and backtest the necessary market risk models on an ongoing basis
• Produce daily risk based P&L for trading and investment portfolios. Articulate a daily view of risk and P&L to senior management in risk, including explanations of substantial position changes, limit violations and material market factor changes
• Monitor established risk levels with reporting on any breach to management
• Assess the appropriateness of the risk reward profile of new investments and product types. Assist in development of valuation models for new product types
• Ensure regulatory compliance in the market risk area, including FRTB
• Measure, monitor and report on interest rate risk and liquidity risk position and profile
• Develop and maintain dynamic ALM modelling including stress testing
• Enhance IRR oversight reporting by clarifying components of interest rate risk and introducing analytics around sensitivity to model assumptions (prepayments, NMD stability, deposit pricing)
• Participate in the development of the bank’s Economic Risk Capital (ERC) / Stress Test model including, prepare documentation, form parameter assumptions, methodologies and processes. 
• Understand how changes in risk profiles impact the balance sheet and RWA usage
• Assist in the testing and implementation of strategic infrastructure to enhance risk management’s capabilities, including valuation of financial instruments
• Prepare analysis and presentations supporting recommendations to the Head of Market Risk

Skills

Education

• Bachelor’s Degree, in Business-related major