Job Description

Responsibilities:

1. Market Risk Management


Trading book related: Monitor the market risk appetite indicator and risk limit authorization on daily basis, including FX NOP and trading book P&L Banking book related: Monitor the market risk appetite indicator and risk limit authorization on daily basis, including banking book FX NOP and bond investment limits Banking book related: Monitor the interest rate risk banking book in terms of re-pricing gap and NII change, on monthly basis Assets-Liability Duration monitoring: Monitor the asset and liability duration, with duration gap, on biweekly basis. Reporting: Prepare monthly report to RMC as well as HO on the market risk monitoring result. Limit Review: Work closely with HO and Treasury regarding the trading book and non-trading book related limit and authorization review Stress testing: Prepare, conduct and report market risk stress testing Policy maintenance: Prepare, review and amend market risk related policy and internal SOP, working template; provide policy review opinion on P&P owned by other departments that involves market risk and treasury business. Conduct gap analysis on revised/amendment or new policy in HO and make necessary changes. System and model enhancement/review: work contact person on new system or valuation/risk measurement model or the enhancement/upgrading of existing system/model.
2. Liquidity Risk Management


Limit Monitoring: Monitor the liquidity risk appetite indicator and risk limit authorization on frequency required by HO and branch P&P Reporting: Prepare monthly report to RMC as well as HO on the liquidity risk monitoring result. Limit Review: Work closely with HO and Treasury regarding the liquidity risk related limit and authorization review Stress testing and LCP: Prepare, conduct and report liquidity risk stress testing; prepare, conduct and repot the annual liquidity contingent plan with drill exercise. Policy maintenance: Prepare, review and amend liquidity risk related policy and internal SOP, working template; provide policy review opinion on P&P owned by other departments that involves liquidity risk. Conduct gap analysis on revised/amendment or new policy in HO and make necessary changes.
3. Treasury abnormal transaction monitoring and general treasury control


Monitoring: Monitor and follow-up the three type of abnormal transactions: Cancel/Delete transaction; transaction with off-market price; delay input transaction. The status and investigation result will be table to RMC as well as HO in relevant reports Policy maintenance?Prepare, review and amend abnormal transaction monitoring related policy and internal SOP, working template Operation Incident follow-up and Thematic treasury control inspection: as main contact person to handle treasury related ORI inspection and the verification of remediation; conduct thematic business unit control inspection for treasury related business/product upon assignment from management/RMC
4. Counterparty Credit Risk Management


Check/confirm the limit/margin before customer side FX and derivatives: Before the System control function in place, conduct the manual check/verification before the customer side FX and derivatives executed. Monitoring Margin level for existing transaction: conduct daily monitoring and follow-up the margin status, include but no limit to margin top-up and force close-out. Monitor loans/outstanding credit exposure with currency mismatch Policy maintenance?Prepare, review and amend Counterparty credit risk related policy and internal SOP, working template, Risk parameters for initial limit/margin utilization. Reporting: Lead the relevant report data in counterparty credit risk exposure area.
5. Country Risk Management: Conduct the country risk exposure and limit monitoring on monthly basis.


6. Credit Risk Management/ Operational Risk management


Provision computation and monitoring, Prepare conduct and submit the annual credit stress testing. Operational risk incident (ORI) handling, monitoring and report. Conduct outsourcing assessment; Review BCM and BCP periodically; Support RCD head to conduct risk assessment and provide opinion on new product and services developed by product department
7. Perform any other related duties as assigned by the Management or HOD.


8. The above mentioned duty points 1 - 6 may be jointly covered with another staff of the department, depending on work volume.

Requirements:

At least 4 - 5 years or more of experience in Market risk and liquidity risk management within Banks/Financial Institutions Proficient in both English and Mandarin to liaise with internal and external Chinese stakeholders * Proficiency in Microsoft Office, Excel functions