Expert, Market and Liquidity Risk Analysis

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)

• Responsible for human resource management and development
• Research documents, national/international standards, documents of partners in the field of expertise (professional documents, governance trends, documents describing risk measurement/ risk management...), select and put into application.
• Participate in professional knowledge/ risk management governance/ policy training courses to team members

Key Accountabilities (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)

• 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:
• Candidates who have graduated from university or master's degree in one of the following majors: Major in Finance, Risk Management in Finance, Mathematics and Finance.
• Priority is given to candidates who have more international certificates in Finance, widely accepted financial risk management such as CFA, FRM.
• Expertise:
• Understanding the market risk management system, interest rate risk on bank books, liquidity risk
• In-depth understanding of Vietnam's financial market/products
• Ability to self-study, self-update knowledge of the financial market according to the experience / new knowledge updated in the industry to apply effectively.
• Minimum TOEIC 600