Snr Irr Portfolio Analyst

Kuala Lumpur, Malaysia

Job Description


Description

Primary Objective:

  • Prepare and analyze interest rate risk in the banking book (IRRBB) measurement for stress test/ICAAP, internal and external reporting
  • Establish and review risk limits
  • Review and monitor behavioral models to support IRRBB measurement
  • Analyze and provide qualitative commentaries of risk exposure and behavioral models output
  • Assessment of risk elements in new products
  • Provide support to manage and ensure successful implementation of ALM projects
  • Analyze and provide basic commentaries in meeting pack
  • Support GALCO, GCRC, IBRMC, BRC, BOD with respect to IRRBB and analysis for information and strategizing
Key Responsibilities:

Strategy and Planning
  • Provide support to Head, Group Interest Rate Risk Management & Reporting and Section Head, Group Interest Rate Risk Reporting to ensure timely completion and accuracy of ALM risk management reporting; and compliance of risk thresholds to ensure effective risk control
  • Maintain appropriate relationship with internal stakeholders to ensure ALM risk management is embedded in business strategy or business plan for a risk oriented practice or culture
Risk Reporting
  • Prepare and review ALM Policy/Guidelines/Operational Manuals/User Guides to reflect the risk management measurement, monitoring and control
  • Prepare / enhance / maintain IRRBB risk reporting including simulations of NII/EAR/EVE for internal, regulatory, ICAAP and stress testing for efficient and accurate risk quantification and monitoring purpose
  • Source historical data for analysis and benchmarking of setting risk limits for prudent risk management
  • Identify, measure, monitor, and control interest rate risk under normal market conditions, under stress scenario, projection; earnings-at-risk and economic value of equity for effective risk management
  • Guide Regional Branches/Subsidiaries on the implementation of Group ALM Framework/Policies/Guidelines/Methodologies & assist in preparing accurate reports for consistency in application
  • Review Regional Branches/Subsidiaries reports to ensure accuracy and timeliness
  • Analyse and write summary of qualitative commentaries for IRRBB reports for Regional Branches/Subsidiaries and simulated positions
  • Follow up with Regional Branches/Subsidiaries on action plans of non-compliances to ensure breaches are regularized within timeframe
  • Ensure compliance and completion of identified internal/external audit findings
  • Maintain appropriate relationship with internal stakeholders to ensure balance sheet risk management is embedded in business strategy or business plan for a risk oriented practice or culture
  • Conduct review (including update of data/model\xe2\x80\x99s drivers) and monitor behavioural models in supporting IRRBB ICAAP and stress test, escalate to Risk Modelling if there is any significant deterioration that warrant model redevelopment
  • Perform analysis and ensure output reasonableness for the behavioral models application in stress test/ ICAAP for IRRBB measurement and limit monitoring
  • Provide subject matter knowledge relating to IRRBB and relevant support to ensure successful automation and implementation of ALM risk system
  • Back-up Head in ensuring smooth running of the BAU and ad-hoc request in his or her absence
Product Assessment & ALM Projects Support
  • Assist to manage timeliness of system implementation for efficiency in reports production and output accuracy
  • Work with Group ALM Risk Governance/Method on the development / enhancement / maintenance of related risk models and parameters in KRM-ALM System to produce accurate risk reports
Any other duties that may be assigned by GCRO, Head of Group ALM, Head of Group Interest Rate Risk Management/Reporting & Product Assessment or Section Head, Group Interest Rate Risk Reporting from time to time.

Requirements

Requirements:
Diploma - risk management, banking & finance, economics, mathematics actuarial or similar related degree.

- Chartered Banker, BRM, FRM, PRIMA - added advantage

5 years of professional experience in Risk Management, Treasury, Asset Liability Management or Finance operations; preferably with strong interest rate risk/liquidity risk management
  • Strong understanding of Group ALM financial reports and ALM techniques
  • Strong communication, writing and influential skills to direct & influence other business lines
  • Strong analytical and relationship/team building skills
  • Acquire strong Microsoft office tools in excel, word and power point
  • Flexible & able to quickly adapt to different & difficult situations
Benefits

Dental, Education support, Miscellaneous allowance, Medical, Loans, Sports (e.g. Gym), Parking, Vision, Regular hours, Mondays - Fridays, Casual Business Wear, Performance Based Rewards

RHB Bank

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Job Detail

  • Job Id
    JD964668
  • Industry
    Not mentioned
  • Total Positions
    1
  • Job Type:
    Full Time
  • Salary:
    Not mentioned
  • Employment Status
    Permanent
  • Job Location
    Kuala Lumpur, Malaysia
  • Education
    Not mentioned