Assistant Manager to Senior Manager, IRRBB, ALM

Industrial and Commercial Bank of China (Asia) Limited

Job Responsibilities

Lead a team for monitor and analyse day-to-day risk monitoring reports and perform ad hoc analysis as and when required
Perform interest rate risk stress test, both for regular, regulatory requirement or ad Hoc stress testing, and regular review on suitability and appropriateness of methodologies, parameters and scenario settings
Conduct annual review on behavioral models, both on the model assumptions and calibration using SAS
Involve in related system enhancement / implementation of regulatory standards / new risk management infrastructure and head office requirements, including provide users specification and requirements, communicate with the developer, conduct UAT as well as ongoing system maintenance
Perform update and review on the operational manual related to day to day reports.

Job Requirements

Degree holder in Finance, Quantitative Analysis, Accounting, Economics or related disciplines
Minimum 5-10 years’ experience in the banking industry preferably with relevant experience in Banking Book Interest Rate Risk Management
Professional qualification in FRM, CFA & CPA or equivalent will be an advantage
Sound knowledge in general banking activities, treasury business and financial products and latest regulatory requirements on Banking Book Interest Rate Risk Management
Proficient Good command of MS Office and computer analytic applications such as SAS, VBA, Bloomberg, Reuters, knowledge in Yield Book will be an advantage
Self-motivated and willing to work under pressure
Solid experience in system implementation process, including initiate user requirements, communicate with the developers, perform UAT testing and ongoing maintain system consistency
Solid knowledge in the design and maintain of IRRBB behavioral and option models
Strong team leadership with sound communication skill.
Fluent Mandarin, English and Cantonese in both oral communication and writing

Industrial and Commercial Bank of China (Asia) Limited

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