- Support daily/monthly valuation processes of Market and liquidity risk management.
- Prepare and verify daily/monthly market data and securities information.
- Implement and perform monitoring of market risk and liquidity risk limits for treasury and other business units.
- Perform credit, liquidity and market risk stress testing.
- Perform counterparty risk assessment and monitoring.
- Calculate PD, LGD, make vintage analysis of loan portfolio.
- Calculate loan impairment under IFRS9.
- Prepare and present analytical papers for senior management and Risk Committee.
- Assist management with special projects as assigned.
- Bachelor’s degree or higher in a quantitative field such as applied mathematics, statistics, engineering, finance, economics, econometrics or computer sciences
- Knowledge of Market Risk and/or Credit Risk methodologies and measures
- Strong numerical, analytical and research skills
- Excellent Microsoft Excel skills (VBA skill is advantage)
- Experience in using statistical and reporting packages such as SPSS
- Database (SQL) and programming skills are an advantage