Execute the ICAAP and ILAAP (liquidity stress test) on semi-annual basis: continuously enhance the methodology to estimate the impact of scenario on balance sheet, capital and liquidity position.
Execute MR/CCR/OR capital charge calculation engines on monthly basis. continuously enhance the methodology and calculation process to follow SBV regulations.
2. Market and Liquidity models and measurements
Develop methodology, tools for Market risk, CCR, CVA capital charge requirement (based on Standardized approach and Internal models),
Develop risk metrics, tools (LCR, NSFR…) for Liquidity
Develop measurement for IRRBB (earning at risk, economic at risk…).
Update and maintain the business requirement document of Market risk capital charge engines, other Cash-flow- related engine (EIR-IFRS9, Liquidity and IRRBB report); In charge of testing the accuracy of these engines.
Job Requirement
Professional qualification:
Graduate university or higher level on major Finance – Banking, Economics; Econometrics and other related majors.
FRM or CFA certificate is plus.
Experience:
Have at least 1-3 year experience on working Market and/ or liquidity risk management
Have strong background on Econometrics and quantitative risk models (VaR, ES….) is a plus
Understand about banking products (especially MM, FX, Bond, Options and other Derivatives) and banking systems
Skills:
Proficient in computer skills, especially Excel and SQL;
Fluent user in English speaking, writing, reading and listening;
Strong communication skills, team-working skills and problem solving skills;
Benefits:
Competitive salary and bonus package
Staff loan with special interest rates
Traing courses based on the job, Training framework/Learning RoadMap for each position
Insurance in accordance with Labor laws + VPBank Care insurance for all employees. (insurance covered for family members for entitled employees);
Annual leave (varied based on job grade)
Travel allowance
A dynamic and friendly working environment, full of great opportunities to develop your career and abundant interesting activities to join (Sports competitions, talent contests, teambuilding…)
Working time: from Monday to Friday & 2 Saturday mornings/month
