Business Function Risk Management Group works closely with our business partners to manage the bank’s risk exposure by balancing its objective to maximise returns against an acceptable risk profile. We partner with origination teams to provide financing, investments and hedging opportunities to our customers. To manage risk effectively and run a successful business, we invest significantly in our people and infrastructure. Job Purpose Develop and review models for ALM risk for both liquidity and IRRBB risk classes. Able to handle data and model development according to policy and framework, and to communicate the model specifics to risk controllers, model validation team and risk committees. Key Accountabilities
Develop and review ALM models for both liquidity and IRRBB risk classes in a systematic and timely manner.
Data analyses and use of statistical tools and techniques to obtain insights within data.
Troubleshoot over data and modelling issues that may arise.
Communicate modelling outputs to Risk Controllers and Business Units.
Support risk managers in formulating risk methodologies.
Responsibilities Model Development
Able to handle, manipulate and transform data to usable data to be fit into models
Able to apply statistical or ML technique to analyse data obtaining insights
Develop risk models for liquidity and IRRBB.
Regulatory Reporting Support
To provide analytics support for production of reports such as EVE, IRPV01 and NII reports that are required by regulators.
Supports risk managers in formulating ALM risk methodology in situation where expert judgement is needed.
Supports ALM risk controller in explaining modelling output to BUs.
Supports ALM projects in terms of analytics, computational and design advice
Bachelor, Masters or PhD in a quantitative discipline
Good to have 2 years working experience in a similar quantitative
Ability to handle data including extraction, data processing and analyses.
Ability to understand and implement statistical/stochastic models
Added advantage to have the ability to understand and implement machine learning algorithms
Good programming skills in R, Python or related packages
Proven track record of independently writing reports
Strong written and interpersonal communication skills
Apply Now We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.