To maintain the stress testing program of the Bank and to perform the risk management functions in relation to capital management matters and interest rate risk in the banking book (IRRBB).
- Maintain and execute the stress testing program and policies including the review of assumptions and methodologies; Play a central role in bank-wide stress testing such as stress tests for ICAAP, recovery planning, capital planning as well as the regulator driven stress testing;
- Handle risk-related capital management matters such as ICAAP review, recovery planning, capital triggers;
- Measure, monitor and control the IRRBB exposures against approved risk limits and appetite; Maintain proper policies and procedures on IRRBB management;
- Maintain and develop risk reports for internal risk monitoring as well as regulatory reporting in accordance with the applicable regulatory standards and requirements;
- Perform regular and ad hoc risk analysis, simulations and reporting assigned by the Department Head and senior management including the Asset & Liability Management Committee and other risk committees.
- Over 7 years’ experience in the risk management of treasury, asset and liability management or finance related areas in the banking industry;
- Hands-on experience in database management or statistical tools, e.g. SQL, SAS, VBA, etc.;
- University degree in Finance, Risk Management or equivalent; holder of CFA or FRM an added advantage;
- Good knowledge in treasury markets, products, regulatory requirements on risk management and capital adequacy;
- Good interpersonal skills and a good team member.