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Client is one of the world’s leading digital banks.
• Take the lead in the development, implementation and recommendation of market risk models and related documentation. This includes coordinating with different teams for timely and sufficient data collection as input into models.
• Undertake statistical and quantitative analysis of the behavior of the Bank’s deposit-taking and lending portfolios and implement these parameters within the market risk models.
• Responsible for preparation, collation and enhancement of management reports (including towards ALCO) necessary to enable informed analysis of the interest rate risk and liquidity risk arising from the Bank’s deposit-taking and retail lending.
• Understand the internal ALM policy framework as well as regulatory requirements related to retail products and business. Use this knowledge to ensure compliance.
• Graduate of Mathematics/Statistics/Actuarial Sciences/Finance or other relevant fields
• Minimum of 3 years experience within the banking industry and at least 2 years in Market Risk.
• Knowledge of program language such as VBA, SQL and SAS.
• Demonstrate a good understanding of financial markets and instruments; and knowledge of market risk management techniques and processes, especially regarding the principles of managing interest rate risk of a non-trading (banking) book.