Senior Manager Market, Interest Rate and Liquidity Risk

Bank of China (M) Berhad; Kuala Lumpur; Presencial; MYR 240.000 - 320.000; Jornada completa

Descripción de la vacante

Bank of China (M) Berhad is seeking a Senior Manager Market, Interest Rate and Liquidity Risk to oversee IRRBB risk, model development for deposits and prepayments, and stress testing. You will ensure accurate ALM data, regulatory compliance, and risk reporting.

The role requires 5+ years in market or interest rate risk, strong quantitative skills, programming ability, and fluency in English and Mandarin.

Formación

• Bachelor degree in risk/finance-related field or equivalent.

Responsabilidades

• Measure IRRBB exposure using EVE and NII metrics.
• Develop models for NMDs, loan prepayments and early redemption behaviors.
• Design and execute periodic stress tests and regulatory shock analyses.
• Ensure accuracy of ALM data inputs and balance sheet assumptions.
• Ensure compliance with BNM IRRBB standards and regulatory reporting.

Conocimientos

Strong quantitative

Leadership & coaching

Independent work

Excellent communication

Fluent English

Fluent Mandarin

Educación

Bachelor's degree in Risk Management / Financial Engineering / Quantitative Finance / Economics / Banking & Finance / Actuarial Science

CFA / FRM / PRM desirable

Herramientas

Bloomberg Terminal

Python

Excel VBA

Descripción del empleo

Senior Manager Market, Interest Rate and Liquidity Risk

Responsible for the oversight, measurement, and management of interest rate risk arising from the bank's assets and liabilities. This role ensures the bank complies with regulatory frameworks (such as Basel and BNM policies) while optimizing the net interest income (NII) and the economic value of equity (EVE).

Key Responsibilities

Measure IRRBB exposure using EVE (Economic Value of Equity) and NII (Net Interest Income) metrics.

Develop and maintain models for non-maturity deposits (NMDs), loan prepayments, and early redemption behaviors.

Design and execute periodic stress tests and scenario analyses, including regulatory shock scenarios.

Ensure the accuracy of ALM data inputs, cash flow calculations, and balance sheet assumptions.

Ensure strict compliance with BNM IRRBB standards and regulatory reporting requirements.

Update and maintain the bank’s IRRBB framework, risk appetite statements, and limit structures.

Act as the primary point of contact for internal auditors, external auditors, and regulatory regulators regarding IRRBB.

Planning and implementation to improve the work process, risk methodology, limit setting and analytical model to ensure the appropriateness and robustness of interest rate risk management policies and procedures.

Lead and manage the implementation of new interest rate risk management policies and procedures requirement from regulatory and parent bank including ensuring its compliance.

Oversight interest rate risk metrics, limits usage, report excesses, projections and risk escalation process to senior management and committee, parent bank and regulator.

Conduct risk assessment on new business initiatives or products from interest rate risk perspective.

Job Requirements

Bachelor Degree in Risk Management, Financial Engineering, Quantitative Finance, Economics, Banking & Finance, Actuarial Science or related discipline.

Professional qualifications such as CFA, FRM or PRM is highly desirable.

Programming skills in Excel VBA/Python will be advantageous.

Experience of at least 5 years in either market risk or interest rate risk or treasury business related risk management.

Strong quantitative, analytic and problem-solving skills.

Strong work ethic, commitment, leadership and coaching skill.

Able to work independently and good communication skill.

Good knowledge of treasury products.

Strong analytical and quantitative skills.

Proficiency in IT skills i.e. MS Excel/Access, Python, Bloomberg.

Fluent in English and Mandarin.

Established in 1912, Bank of China is the oldest bank in China. It has been ranked one of the world's top banks in terms of core capital by The Banker. Bank of China has been included in the Fortune Global 500 for 13 consecutive years. Bank of China is the first and the only Chinese bank that has presence in all major continents. At the present the bank offers financial services through its global network of over 560 overseas offices in 25 countries and regions. We are inviting qualified candidates to join us as: