Expert, Market and Liquidity Risk Analysis (40000794)

Job Purpose

The job holder is responsible for:
- Research and advice on market risk (MR), interest risk on banking book (IRRBB)/ liquidity risk (LR) management in terms of risk metrics, risk analysis, control system / tools, data and system to improve quality of risk management in MR, IRRBB / LR

Key Accountabilities (1)

1. Responsible for human resource management and development
- Research documents, national/international standards, documents of partners in the field of expertise (professional documents, governance trends, documents describing risk measurement/ risk management...), select and put into application.
- Participate in professional knowledge/ risk management governance/ policy training courses to team members

Key Accountabilities (2)

2. Professional responsibilities
2.1. MR, IRRBB/ LR Policy
- Develop unit's procedures and guidance for MR, IRRBB/LR
- Participate in train and knowledge sharing on policies, process and guidance
- Support units in the bank in reviewing relevant internal documents.
2.2. MR, IRRBB/ LR acceptance: develop risk indicators, set risk appetite, risk limit
- Assess business's limit proposal, identify MR, IRRBB/ LR from business initiative, product
- Design and propose risk mitigation solution to the unit's SM, SE
2.3. MR, IRRBB/ LR analysis and control: early-warning, stress test, risk forecasting, LCP, LFD…
- Support SM in limit control, early-warning; limit breach assessment to comply with the regulations on MR, IRRBB / LR and regulatory requirement
- Support SM in CCR limit control of the unit; early-warning (MR only)
- Guide SO, O analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions; Review the report to submit to the unit's SM.
- Participate in development and implementation of Liquidity contingency plan and Liquidity Fire-Drill: Assess on performance of LFD, LCP, scenarios, cashflow projection,… for liquidity crisis; Review LCP, procedure on LCP, dimensions to assess LFD, reporting and data for LFD…; Update regulation to enhance the practice (for LR only)
2.4. MR, IRRBB/ LR Risk capital measurement
- Study, develop methodology/tools and implement capital calculation compliance according to SBV and ICAAP requirements for MR, IRRBB, CCR, concentration risk in trading book (MR only).
- Research and support business units in measuring capital efficiency (MR only).
- Support SM to assess liquidity cost in stress scenarios of risk capital - ICAAP (LR only)
2.5. MR, IRRBB/ LR Risk data and system
- Cooperate with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis and propose to SM
- Guide SO, O to implement the development, improvement and operation of measurement and control systems and tools of the unit
2.6. MR, IRRBB/ LR Risk transformation
- Research under professional guidance of SE on risk management standards, SBV requirements and propose the implementation roadmap to the Senior Manager

Key Accountabilities (3)

3. Other tasks:
- Research and propose improvements in risk management
- Other tasks assigned by Senior Manager

Key Relationships - Direct Manager

Senior Manager, Risk Analysis (Market Risk/ Liquidity Risk)

Key Relationships - Direct Reports

None

Key Relationships - Internal Stakeholders

GTS, Treasury, Audit, Risk management division, Technology and Operation CA and related party

Key Relationships - External Stakeholders

Consultant, vendors to provide consulting and techology service...

Success Profile - Qualification and Experiences

- Experience
+ Expertise: Minimum 5 years of experience in analysis of MR, IRRBB/ LR, ALM or more than 8 years of experience in related fields of the financial and banking industry
- Degree/Profession:
+ Candidates who have graduated from university or master's degree in one of the following majors: Major in Finance, Risk Management in Finance, Mathematics and Finance.
+ Priority is given to candidates who have more international certificates in Finance, widely accepted financial risk management such as CFA, FRM.
- Expertise:
+ Understanding the market risk management system, interest rate risk on bank books, liquidity risk
+ In-depth understanding of Vietnam's financial market/products
+ Ability to self-study, self-update knowledge of the financial market according to the experience / new knowledge updated in the industry to apply effectively.
- Minimum TOEIC 600