Expert, Quantitative Risk Modelling (1535)

Job Purpose

The job holder responsible for:
• Research advanced techniques applied in market risk and liquidity risk measurement, analytics and monitoring
• Research into national and international regulations and standards in market risk, liquidity risk and interest rate risk in the banking book, and provide practical solutions
• Advise solution in quantitative model development applied in market risk, liquidity risk, interest rate risk in the banking book and pre-settlemen risk for seniors in higher levels.
• Research technical application in market risk, liquidity risk, IRRBB and pre-settlement risk management

Key Accountabilities (1)

1. Human resource management and development
• Develop a training material and conduct training through direct training or appropriate external training programs to meet job requirements
• Organize communication of professional knowledge for team members

Key Accountabilities (2)

2. Functional responsibility
2.1. Develop quantitative modeling and quantification approach for Market risk, Counterparty credit risk, Interest rate risk in banking book and Liquidity risk
• Involve to build quantitative modeling roadmap for risk assessment and monitoring in accordance with Basel, Regulatory Authority (SBV) standards and internal management requirements
• Research, study new technology, new solution to enhance model development quality
• Oversee and provide guidance and solution for the developper during development process for tenical problem solving
• Independent challenge developer about the selection of parameter, calibration methodology,...during model development and refinement
• Review validation of upstream model of risk quantitative model are validated before using (that applies for MR, CCR, IRRBB and LR)
2.2. Model risk management
• Reseach and study international standard, best practice about model governance, model risk management, model developement and validation to standardize quantitative modeling
• Model risk management activities in accordance with defined procedures
- Independ review monitoring plan including governance, risk/performance metrics in model monitoring
- Independent review risk/performance model monitoring
2.3. Implementation and use of risk models
• Document and provide references for analytical methodologies, algorithms, models and related process,
• Train on the use of risk models
2.4. Ensure the model implementation system (store data, models, and decisions)
• Research, study new technology, new solution to enhance model performance
• Design data architecture, database for MRM analytics and modeling dashboard
2.5. Manage the documentation and reporting
• Involve to develop ad-hoc and regular summary reports and reporting dashboards to meet stakeholder needs
• Review reports for trend analysis, baseline benchmarking and modelling outputs
• Communicate findings of data modelling, monitoring and analysis
2.6. Other Responsibilities:
• Other duties assigned by the leadership level

Key Accountabilities (3)

Key Relationships - Direct Manager

Senior Manager, Quantitative modeling

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:
- Minimum 07 years of experience in Banking, Risk Modeling or equivalent
- Understand international regulations and practices on Basel 2, IFRS9, and Stress-Test
Qualification:
• Bachelor's degree or higher (finance / banking / financial risk management / financial math / quantitative finance)
• Being trained at university or graduate level in these fields is advantageous in developed countries.
• Having an internationally recognized certificate in financial analysis, financial risk management is an advantage (eg, FRM, CFA, PRM, CPA, ...)
Foreign Language (English): minimum 600 or equivalent