Market & Liquidity Risk Specialist (ID: 574059)

Responsibilities:

• Produce market and liquidity risk reports, execute limit controls and compute market risk RWA that is required by regulators and internal policies
• Propose solutions for enhancement and automation of reporting processes through the application of data analytical techniques
• Identify and initiate improvement of risk metrics and assumptions, including stress testing, EVE, PV01, NII and behavioural analysis through statistical analysis or machine learning techniques
• Provide timely feedback on market and liquidity risk-related queries from internal & external stakeholders from time to time.
• Participate in risk-related projects, process changes and department initiatives as required
• Provide support and address market and liquidity risk matters during the process of new product program development

Requirements

• Bachelors, Masters or PhD in a quantitative discipline, e.g. in Banking, Finance, Mathematics, Statistics, or Actuarial Science
• 5 to 7 years of relevant experience in a similar role with good knowledge of banking products; SME products will be favourable
• Excellent risk analytical skills and problem-solving skills to evaluate a variety of situations and articulate recommendations for senior management’s decision
• Good programming skills in SQL, Python and related packages, for example, NumPy, and Pandas
• Hands-on experience in handling risk data and developing risk algorithms
• Ability to understand and implement statistical or machine learning models for behavioural analysis of SME lending portfolios and deposit products
• Familiar with the methodology and reporting requirement of marker risk and IRRBB addressed in MAS637
• Excellent communication skills with demonstrated skills to develop and build effective relationships in cross-functional teams

We apologize that only shortlisted candidates will be contacted. Thank you

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