Asset Liability Risk Management Officer
5 days ago
Job Summary
- The Asset Liability Risk Management Officer assists the MRM Team Head in identifying, assessing, monitoring, and controlling liquidity risk and interest rate risk in the banking book.
- Recommends liquidity risk and interest rate risk in the banking book management policies.
- Supports the MRM Head in the completion and delivery of the ICAAP document, mostly covering risks related to interest rate and liquidity.
Duties and 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.
- Serve as the "checker" for the outputs of the Treasury and Trust Risk Management Officer.
Qualifications
- Graduate of any business-related course
- Relevant Certifications is a plus (CFA, FRM, etc.)
- With experience in performing VaR calculations, re-pricing gap, and maturity gap
- Proficient in MS Office applications
- With excellent written and oral communication skills
- Strong analytical and critical thinking skills
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