Expert, Quantitative Risk Modelling

1 week ago

Hanoi, Hanoi, Vietnam Techcombank Full time

02-Feb-2023
Expert, Quantitative Risk Modelling (1535):

  • Category: Risk Management Division
  • Job Type:
  • Facility: Data & Analytics
    Job Purpose:

The job holder responsible for:

  • Research advanced techniques applied in market risk and liquidity risk measurement, analytics and monitoring
  • Research into national and international regulations and standards in market risk, liquidity risk and interest rate risk in the banking book, and provide practical solutions
  • Advise solution in quantitative model development applied in market risk, liquidity risk, interest rate risk in the banking book and presettlemen risk for seniors in higher levels.

Key Accountabilities (1):

  • Human resource management and development
  • Develop a training material and conduct training through direct training or appropriate external training programs to meet job requirements
  • Organize communication of professional knowledge for team members

Key Accountabilities (2):

  • Functional responsibility
2.1. Develop quantitative modeling and quantification approach for Market risk, Counterparty credit risk, Interest rate risk in banking book and Liquidity risk

  • Involve to build quantitative modeling roadmap for risk assessment and monitoring in accordance with Basel, Regulatory Authority (SBV) standards and internal management requirements
  • Research, study new technology, new solution to enhance model development quality
  • Oversee and provide guidance and solution for the developper during development process for tenical problem solving
  • Independent challenge developer about the selection of parameter, calibration methodology, model development and refinement
  • Review validation of upstream model of risk quantitative model are validated before using (that applies for MR, CCR, IRRBB and LR)
2.2. Model risk management

  • Reseach and study international standard, best practice about model governance, model risk management, model developement and validation to standardize quantitative modeling
  • Model risk management activities in accordance with defined procedures
  • Independ review monitoring plan including governance, risk/performance metrics in model monitoring
  • Independent review risk/performance model monitoring
2.3. Implementation and use of risk models

  • Document and provide references for analytical methodologies, algorithms, models and related process,
  • Train on the use of risk models
2.4. Ensure the model implementation system (store data, models, and decisions)

  • Research, study new technology, new solution to enhance model performance
  • Design data architecture, database for MRM analytics and modeling dashboard
2.5. Manage the documentation and reporting

  • Involve to develop adhoc and regular summary reports and reporting dashboards to meet stakeholder needs
  • Review reports for trend analysis, baseline benchmarking and modelling outputs
  • Communicate findings of data modelling, monitoring and analysis
2.6.

Other Responsibilities:

  • Other duties assigned by the leadership level

Key Accountabilities (3):

Key Relationships - Direct Manager:

Senior Manager, Quantitative modeling

Key Relationships - Direct Reports:

None

Key Relationships - Internal Stakeholders:

GTS, Treasury, Audit, Risk management division, Technology and Operation CA and related party

Key Relationships - External Stakeholders:

Consultant, vendors to provide consulting and techology service...

Success Profile - Qualification and Experiences:

Experience:

  • Minimum 07 years of experience in Banking, Risk Modeling or equivalent
  • Understand international regulations and practices on Basel 2, IFRS9, and Stress-Test

Qualification:

  • Bachelor's degree or higher (finance / banking / financial risk management / financial math / quantitative finance)
  • Being trained at university or graduate level in these fields is advantageous in developed countries.
  • Having an internationally recognized certificate in financial analysis, financial risk management is an advantage (eg, FRM, CFA, PRM, CPA,...)
Foreign Language (English): minimum 600 or equivalent

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