VP / AVP, ALM Risk Analytics, Risk Management Group
Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.
Develop and review models for ALM risk for both liquidity and IRRBB risk classes. Able to handle data and model development according to policy and framework, and to communicate the model specifics to risk controllers, model validation team and risk committees. Responsibilities
Able to handle, manipulate and transform data to usable data to be fit into models Able to apply statistical or ML technique to analyse data obtaining insights Develop risk models for liquidity and IRRBB.
Regulatory Reporting Support
To provide analytics support for production of reports such as EVE, IRPV01 and NII reports that are required by regulators.
Supports risk managers in formulating ALM risk methodology in situation where expert judgement is needed. Supports ALM risk controller in explaining modelling output to BUs. Supports ALM projects in terms of analytics, computational and design advice. Requirements
Masters or PhD in a quantitative discipline; 6+ years working experience in a similar quantitative role with good knowledge of banking products; Ability to handle data including extraction, data processing and analyses. Ability to understand and implement statistical/stochastic models; Added advantage to have the ability to understand and implement machine learning algorithms; Good programming skills in R, Python or related packages; Proven track record of independently writing reports; Strong written and interpersonal communication skills. Apply Now
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.