AVP/VP, Market Risk Management, Asset Liability Management

Job Description - AVP/VP, Market Risk Management, Asset Liability Management (250000LB)

Why Join

This is a role within the Asset Liability Management (ALM) team under the Group Risk Management division. You will have the opportunity to contribute to the management of the Bank’s balance sheet structure and liquidity requirements, through the measurement, management and analysis of asset liability risks.

How You Succeed

To excel in this role, you should have experience in statistical modelling or machine learning techniques in financial industry. You are also familiar with concepts and regulatory standards involving asset liability risk. These could be in the areas of liquidity risk, interest rate risk in the banking book (IRRBB), or structural foreign exchange (SFX) risk management.

What You Do

1. Develop and maintain ALM models on behavioural profile of customers/products as guided under regulatory framework and internal assumptions
2. Monitor and assess model performance on a regular basis
3. Maintain and review ALM policies on models
4. Represent team in system enhancements and projects related to models
5. Liaise with internal stakeholders (including Global Markets, Corporate Treasury, Business Units, and Audit) on issues related to ALM models
6. Support the validation of ALM models
7. Participate in user testing of the ALM system as part of system enhancements and parameter updates

Qualifications

Who You Are

1. 2-7 years of experience in statistical modelling or machine learning techniques in financial industry; direct experience in ALM models would be a strong plus
2. Good understanding of liquidity risk, IRRBB and SFX risk management
3. Well versed in at least one of the following programming languages: Python, C/C++, VBA
4. Analytically inclined, attentive to detail, and comfortable with presenting complex or technical concepts to non-technical audience

Who you work with

Group Risk Management works independently to protect, build, and drive our businesses. The team supports good decision-making with strong risk analysis. And a crucial, comprehensive role in sharpening our competitive edge. Optimising risk-adjusted returns. It's about seeking and adopting best-in-class practices. Protecting the group from unforeseen losses. Keeping risk within appetite. Embracing change and managing growth in one of the world's strongest banks.

What we offer

Competitive base salary. A suite of holistic, flexible benefits to suit every lifestyle. Community initiatives. Industry-leading learning and professional development opportunities. Equal opportunity. Fair employment. Selection based on ability and fit with our culture and values. Your wellbeing, growth, and aspirations are every bit as cared for as the needs of our customers.