Scope and Purpose
The Head of Market and Liquidity Risk is reporting to Chief Risk Officer.
Key Responsibilities and Duties
- Develop, implement and review policies and procedures for the management of liquidity, market and interest rate risks, including overall frameworks, monitoring standards and related methodologies.
- In charge of management information (MI) reporting for liquidity, market and interest rate risks, to design and manage the production of MI reports, provide insights on relevant portfolios and balance sheet profile, including its quality and movements, for portfolio managers and senior management, define and apply relevant metrics for portfolio monitoring and relevant regulatory reporting, etc.
- Carry out ad-hoc analysis and regular monitoring to enable changes in risk profiles be measured, identified and escalated in a prompt and effective manner
- Collaborate with Finance to carry out bank wide stress tests, such as Recovery Plan, Contingency Funding Plan, ICAAP, Industry-wide Stress Test, etc., on the relevant balance sheet items
- Develop, implement, validate and monitor liquidity and interest rate risk models, including those for stress testing
- Hands on experience on Interest Rate Risk in Banking Book (IRRBB). Able to develop methodology and programming for managing the IRRBB
- Collaborate with Treasury, Finance and other risk management functions to develop, implement and maintain different products, ensure sufficient control processes being in place and adhered, etc.
- Ensure critical and relevant information being reported to relevant risk committees in a timely manner for effective board and senior management oversights.
- Ensure regulatory compliance of the relevant internal policies and control processes
- Hands on experience on producing the risk related regulatory reporting, e.g. Return 1E, 12A, 12B, 18, etc.
- Liaise with internal auditors, external auditors and regulator for matters on liquidity, market and interest rate risks
Experience and Education:
- Degree holder in Economics, Finance or Quantitative Analysis. Qualifications in FRM is preferred
- TMA membership is a MUST.
- 10+ years hands-on experience in the management of liquidity, market and interest rate risks
- Experienced people manager
- Solid in the technical know-how on stress testing, regulatory reporting, management reporting, risk modelling, etc
- Familiar with treasury business, financial products, banking operations, macroeconomic issues and banking regulations
- Strong problem-solving ability; analytical and critical thinking
- Open-minded; team player; willing to challenge status quo and run extra mile
- Strong business sense; good communication and interpersonal skills
- Strong programming skills, including Python.
- Fluency in English and Chinese, written and spoken.