Manager, Market and Liquidity Risk

Hong Kong·Hong KongFull-timemid

Other

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Quick Summary

Overview

Work closely with Finance, Treasury and other relevant departments on market risk and liquidity risk related issues for bank products with focus on Treasury products and structured products.

Technical Tools

Other

Work closely with Finance, Treasury and other relevant departments on market risk and liquidity risk related issues for bank products with focus on Treasury products and structured products.
Monitor and report the Bank’s market and liquidity risk position following the requirements of relevant policies and limits.
Implement the market risk and liquidity risk stress test program (including but not limited to derivation of stress test parameters from internal historical data) with regular review on suitability and appropriateness of methodologies, parameters and scenario settings.
Prepare regular and ad-hoc market risk and liquidity risk reports to ALCO, senior management and regulators.
Update, maintain and review market risk and liquidity risk policies and procedures based on business development and regulatory requirement.
Participate the new product and new business initiatives for the Bank.

Requirements

~1 min read

Degree holder in Finance, Risk Management, Statistics or related disciplines
Professional qualification in CFA, FRM or equivalent will be an advantage.
Minimum 4-6 years’ experience in the banking industry in asset liability management or market and liquidity risk management.
Solid knowledge on Treasury structured product including but not limited to market risk analysis (trade level and portfolio level), market risk limits setting and monitoring, counterparty credit risk analysis etc. Knowledge on structured product for other asset class like equity will be an advantage.
Experience with HKMA regulatory reporting like MA(BS)12A (IRRBB) and regulatory liquidity ratio like LMR/LCR/NSFR.
Experience in behavior modelling for prepayment of loan products and early withdraw of deposit.
Self-motivated and willing to work under pressure.
Good command of both written and spoken English and Chinese
Hands on experience in programming using VBA, Python, SAS etc.
Hands on experience in Treasury system (Bloomberg, MUREX, SUMMIT etc.) for Treasury plain vanilla and structured products.