Expert, Market and Liquidity Risk Analysis

2 months ago

Hà Nội, Vietnam Techcombank Full time

16 Oct 2024**Expert, Market and Liquidity Risk Analysis (40000794)**:

- Category: Risk Management Division- Job Type:
- Facility: Risk Management**Job Purpose**:

- The job holder is responsible for:

- Research and advice on market risk (MR), interest risk on banking book (IRRBB)/ liquidity risk (LR) management in terms of risk metrics, risk analysis, control system / tools, data and system to improve quality of risk management in MR, IRRBB / LR

**Key Accountabilities (1)**:

- 1. Responsible for human resource management and development
- Participate in professional knowledge/ risk management governance/ policy training courses to team members

**Key Accountabilities (2)**:

- 2. Professional responsibilities
2.1. MR, IRRBB/ LR Policy
- Develop unit's procedures and guidance for MR, IRRBB/LR
- Participate in train and knowledge sharing on policies, process and guidance
- Support units in the bank in reviewing relevant internal documents.

2.2. MR, IRRBB/ LR acceptance: develop risk indicators, set risk appetite, risk limit
- Assess business's limit proposal, identify MR, IRRBB/ LR from business initiative, product
- Design and propose 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
- Support SM in limit control, early-warning; limit breach assessment to comply with the regulations on MR, IRRBB / LR and regulatory requirement
- Support SM in CCR limit control of the unit; early-warning (MR only)
- Guide SO, O analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions; Review the report to submit to the unit's SM.
- Participate in development and implementation of Liquidity contingency plan and Liquidity Fire-Drill: Assess on performance of LFD, LCP, scenarios, cashflow projection,for liquidity crisis; Review LCP, procedure on LCP, dimensions to assess LFD, reporting and data for LFD ; Update regulation to enhance the practice (for LR only)

2.4. MR, IRRBB/ LR Risk capital measurement
- Study, develop methodology/tools and implement capital calculation compliance according to SBV and ICAAP requirements for MR, IRRBB, CCR, concentration risk in trading book (MR only).
- Research and support business units in measuring capital efficiency (MR only).
- Support SM to assess liquidity cost in stress scenarios of risk capital - ICAAP (LR only)
2.5. MR, IRRBB/ LR Risk data and system
- Cooperate with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis and propose to SM
- Guide SO, O to implement the development, improvement and operation of measurement and control systems and tools of the unit

2.6. MR, IRRBB/ LR Risk transformation
- Research under professional guidance of SE on risk management standards, SBV requirements and propose the implementation roadmap to the Senior Manager

**Key Accountabilities (3)**:

- 3. Other tasks:

- Research and propose improvements in risk management
- Other tasks assigned by Senior Manager

**Key Relationships - Direct Manager**:
Senior Manager, Risk Analysis (Market Risk/ Liquidity Risk)

**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

+ Expertise: Minimum 5 years of experience in analysis of MR, IRRBB/ LR, ALM or more than 8 years of experience in related fields of the financial and banking industry
- Degree/Profession:

- Expertise:
+ Understanding the market risk management system, interest rate risk on bank books, liquidity risk
+ In-depth understanding of Vietnam's financial market/products
- Minimum TOEIC 600

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