Senior Officer, Market and Liquidity Risk Analysis

Job Purpose

The job holder responsible for:
Participate in planning and implementing risk management in compliance with market risk management (MR), interest rate risk on the bank book management (IRRBB), liquidity risk management (LR) frameworks.

Key Accountabilities (1)

1. Responsibility for human resource development
- Participate in training and guiding other senior officer / officer;
- Propose training programs, develop skills and capacity for senior officer/officer       

Key Accountabilities (2)

2. Professional Responsibilities
2.1. MR, IRRBB/ LR policy
- Develop guidance processes related to MR, IRRBB / LR analytics and control.
- Participate in assessment of the impacts from SBV's regulations and international practices, Basel or advanced regulations for MR, IRRBB / LR analysis and control.
2.2. MR, IRRBB/ LR acceptance: develop risk indicators, set risk appetite, risk limit
- Participate in assessment of business's limit proposal, identification of MR, IRRBB/ LR from business initiative, product with guidance / support from Expert, SM and SE
- Participate in design and proposal of risk mitigation solution to the unit's SM, SE
2.3. MR, IRRBB/ LR analysis and control: early-warning, stress test, risk forecasting, LCP, LFD…
- Control limit, early-warning; assess limit breach to comply with the regulations on MR, IRRBB/ LR and regulatory requirements.
- Control CCR limit; early-warning (MR only)
- Analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions;
- Participate in development and implementation of Liquidity contingency plan and Liquidity Fire-Drill (LR only): Assess LFD, LCP scenarios, cashflow projection,… for liquidity crisis (for LR only).
2.4. MR, IRRBB/ LR capital measurement
- Participate in study, methodology/tools development and capital calculation implementation according to SBV and ICAAP requirements for MR, IRRBB, CCR, concentration risk in trading book.
- Partipate in research and business support in measuring capital management efficiency
- Particpate in assessment of liquidity cost in stress scenarios in ICAAP.
2.5 MR, IRRBB/ LR data và system
- Work with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis.
- Develop, improve and operate control systems and tools of the unit.
2.6. MR, IRRBB/ LR Risk transformation
- Participate in research under professional guidance of SE, E on risk management standards, SBV requirements and work with SE, E on roadmap proposal to the Senior Manager

Key Accountabilities (3)

3. Other tasks
- Additional tasks assigned by the Senior Manager

Success Profile - Qualification and Experiences

Experience:
- Expertise: at least 5 years of experience in analyzing MR, IRRBB, LR, ALM...or more than 03 years of experience in related fields of finance and banking industry.
Expertise:
- Understand market risk, IRRBB, liquidity risk, ALM management.
- Knowledge of analytics
- Understand Treasury operations, interbank activities
- Knowledge of financial market products
Degree/Profession:
- Graduated from University with majors in Finance, Risk Management of Finance, Financial Mathematics. Preference will be given to candidates with international certificates in Finance, financial risk management widely accepted such as CFA, FRM.
- English: TOEIC 550 or equivalent