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Senior Manager - Asset & Liability Management

CFA Institute
7-12 years
Not Specified

Job Description

  • Implement and maintain a consistent framework on interest rate risk of Banking Book ('IRRBB') and liquidity risk management and control process.
  • Establish and review IRRBB and liquidity risk policies which are in line with the group practices.
  • Lead the team to prepare, monitor and analyze IRRBB and / or liquidity risk reports (e.g. IRRBB, PV01, MCO, LCR, or NSFR) and ensure all exposures be properly captured in ALM system
  • Lead the team to maintain the ALM system, develop user requirement in IRRBB and / or liquidity risk for system replacement and participate in new system acceptance tests
  • Prepare presentation materials for monthly ALCO and quarterly RMC meetings
  • Provide guidance and oversight to junior staff
  • Work with Head Office to review the behavioralisation models applied in measuring IRRBB, liquidity risk, or FTP
  • Be responsible for SDST and ICAAP in the area of IRRBB and / or liquidity risk including relevant ICAAP stress tests

  • Degree holder in risk management, finance, business or related subject and Master's degree holder in a relevant subject is preferred.
  • TMA membership is required.
  • FRM / CFA or CPA membership is preferred
  • At least 7 - 12 years of relevant working experiences in Interest Rate Risk/ Asset & Liability Management
  • Knowledge in Asset & Liability Management system and familiar with SQL are preferred

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