Senior Officer to Deputy Manager, IRRBB, ALM

Job Responsibilities

• Monitor and analyse day-to-day risk monitoring reports and perform ad hoc analysis as and when required
• Perform interest rate risk stress test, both for regular, regulatory requirement or ad Hoc stress testing, and regular review on suitability and appropriateness of methodologies, parameters and scenario settings
• Conduct annual review on behavioral models, both on the model assumptions and calibration using SAS
• Involve in related system enhancement / implementation of regulatory standards / new risk management infrastructure and head office requirements, including provide users specification and requirements, communicate with the developer, conduct UAT as well as ongoing system maintenance
• Perform update and review on the operational manual related to day to day reports.

Job Requirements

• Degree holder in Finance, Quantitative Analysis, Accounting, Economics or related disciplines
• Minimum 3-5 years’ experience in the banking industry preferably with relevant experience in Banking Book Interest Rate Risk Management
• Professional qualification in FRM, CFA & CPA or equivalent will be an advantage
• Sound knowledge in general banking activities, treasury business and financial products and latest regulatory requirements on Banking Book Interest Rate Risk Management
• Proficient Good command of MS Office and computer analytic applications such as SAS, VBA, Bloomberg, Reuters, knowledge in Yield Book will be an advantage
• Self-motivated and willing to work under pressure
• Solid experience in system implementation process, including initiate user requirements, communicate with the developers, perform UAT testing and ongoing maintain system consistency
• Solid knowledge in the design and maintain of IRRBB behavioral and option models
• Strong team leadership with sound communication skill.
• Fluent Mandarin, English and Cantonese in both oral communication and writing