Asset Liability Risk Management Officer
Salary undisclosed
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Job Responsibilities
- Weekly completion of the treasury risk reports presented to ALCO which include RBCAR/CET1 limit compliance, unimpaired capital and SBL position, compliance to internal and external liquidity risk limits.
- Perform monthly estimation of the Bank’s Interest Rate Risk (EaR and EVE) and liquidity risk (MCO).
- Perform monthly stress testing of the Bank’s EaR, EVE, and MCO profile.
- Perform quarterly industry benchmarking of key performance indicators (i.e. Asset Size, Capital, ROE, RBCAR, CET1, NPL).
- Lead the completion of reports covering Interest Rate Risk and Liquidity Risk profiles to the ALCO & ROC.
- Support the completion of ICAAP covering Interest Rate Risk and Liquidity Risk.
- Support the completion of the annual audit of the Financial disclosures covering the Bank’s Interest Rate Risk and Liquidity Risk.
- Support policy review and development for items related to Interest Rate Risk and Liquidity Risk.
Job Qualifications
- Bachelor’s degree in any analytical or business related course. Relevant certifications (e.g. CFA, FRM, etc.) are a plus.
- 1-3 years of cumulative experience in Market Risk Management, Treasury, and Asset Liability Management.
- Preferably with experience in performing VaR calculations, Re-pricing Gap, and Maturity Gap
- Analytical and Critical Thinking
- MS Office Proficiency
- Excellent Written and Oral Communication Skills
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