• 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.

Required Qualifications:

  • 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