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This is an exciting role in the Policy, Analytics & Supervisory team which provides key support to senior management eg Group Asset Liability Management Committee (GALCO) and Market Risk Management Committee (MRMC). The candidate will have some day-to-day direct exposure with the Head of MRM-ALM and colleagues within the MRM-ALM team, and frequent exposure with business/Corporate Treasury/IT. The candidate will also have opportunities to interact with senior management including the CRO, GALCO and MRMC. Roles and Responsibilities:
Support the roll-out of key MRM-ALM initiatives, including the Basel interest rate risk in banking book (IRRBB) measures such as ∆EVE and ∆NII and models such as interest rate profiling of non-maturing deposits and early redemption of fixed deposits
Support the annual IRRBB limits calibration
Monitor the IRRBB usage against limits and make recommendation to management
Provide support to other team members in the annual ICAAP and IWST exercise
Support the overseas and Development teams in the rollout of the IRRBB system for the Bank's overseas locations
Head of MRM-ALM Policy, Analytics and Supervisory
4-8 years of experience in risk management and relevant field
Performance driven, forward look and able to think outside of the box
Strong analytical and data mining skills
Knowledge of VBA, SQL is preferred
Experience in analysing and reporting interest rate and liquidity profile for senior management and Risk Committee
Independent, fast learner with good communication skills