Expert, Market and Liquidity Risk Analysis

Job Description

Job Purpose

- The job holder is responsible for:
- Research and advice on market risk (MR) management in terms of risk metrics, risk analysis, control system / tools, data and system to improve quality of MR risk management.

Key Accountabilities (1)

1. Responsible for human resource management and development
- Research documents, national/international standards, documents of partners in the field of expertise (professional documents, governance trends, documents describing risk measurement/ risk management...), select and put into application.
- Participate in professional knowledge/ risk management governance/ policy training courses to team members

Key Accountabilities (2)

2. Professional responsibilities
2.1. MR Policy
- Develop the system of regulations & framework on risk management to ensure the consistency, close linkage and suitability with bank overall of risk management framework
- Develop unit's procedures and guidance for MR.
- Participate in train development and knowledge sharing on policies, process and guidance.
- Support units in the bank in reviewing relevant internal documents.
2.2. MR acceptance: develop risk indicators, set risk appetite, risk limit
- Assess business's limit proposal, identify MR from business initiative, product
- Design and propose risk mitigation solution to the unit's Director/ Senior manager
2.3. MR analysis and control: early-warning, stress test, risk forecasting…
- Support Director/ Senior manager in limit control, early-warning; limit breach assessment to comply with the regulations on MR and regulatory requirement
- Guide Senior officer, Officer analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions; Review the report to submit to the unit's Director/ Senior manager.
2.4. MR capital measurement
- Study, develop methodology/tools and implement capital calculation compliance according to SBV and ICAAP requirements for MR.
- Research and support business units in measuring capital efficiency.
2.5. MR data and system
- Cooperate with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis and propose to Director/ Senior manager
- Guide Senior officer, Officer to implement the development, improvement and operation of measurement and control systems and tools of the unit
2.6. MR transformation
- Research under professional guidance of Senior expert on risk management standards, SBV requirements and propose the implementation roadmap to the Director/ Senior manager

Key Accountabilities (3)

3. Other tasks:
- Research and propose improvements in risk management
- Other tasks assigned by Director/ Senior Manager

Key Relationships - External Stakeholders

Consultant, vendors to provide consulting and techology service...

Job Requirement

Success Profile - Qualification and Experiences

- Experience
+ Expertise: Minimum 5 years of experience in market risk management / Treasury Finance controlling / Finance market trading or more than 8 years of experience in related fields of the financial and banking industry
- Degree/Profession:
+ Candidates who have graduated from university or master's degree in one of the following majors: Major in Finance, Risk Management in Finance, Mathematics and Finance.
+ Priority is given to candidates who have more international certificates in Finance, widely accepted financial risk management such as CFA, FRM.
- Expertise:
+ Understanding the market risk management system
+ In-depth understanding of Vietnam's financial market/products
+ Ability to self-study, self-update knowledge of the financial market according to the experience / new knowledge updated in the industry to apply effectively.
- Minimum TOEIC 600