Senior Associate, ALM Risk Analytics, Risk Management Group
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 Accountabilites
Job Duties & responsibilities
- 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.
- 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.
Apply Now We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognizes your achievements
- Bachelor, Masters or PhD in a quantitative discipline;
- Good to have 3+ years working experience in a similar quantitative discipline;
- 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.