Director, Group Market Risk Management

4 weeks ago

Malaysia Affin Bank Berhad Full time

Director, Group Market Risk Management page is loaded

Director, Group Market Risk Management Apply locations Menara Affin, TRX time type Full time posted on Posted 2 Days Ago job requisition id JR100069 Create your future with Affin You too can make a difference.

Join us at AFFIN, where the open minds meet and be inspired by a shared commitment to great work. Here, you don't just stay at the forefront of the industry – you can make a difference too.

Position Objective

  • Ensure that there is an effective and efficient management of the bank's market risk across the Group.
  • Support the Head of Group Market Risk in overseeing and managing department's treasury risk control and market risk functions.
  • Provide a comprehensive market risk analysis and assessment that can assist in decision making and controls setup.

Key Responsibilities

  • To generate trading and investment risk reports timely and accurately.
  • To perform daily analysis of market risk exposures and sensitivities, as well as limit monitoring for all treasury products (i.e., fixed income securities, FX, interest rate and FX derivatives).
  • To generate VaR, stress testing and backtesting reports, including ICAAP and regulatory stress test.
  • To prepare monthly reports, ALCO report, market risk capital charge report and management executive summary for trading and investment book.
  • To work with front office traders/dealers, business management support, IT, Group Finance and Back Office on issues related to market risk.
  • To develop and enhance market risk monitoring tools and reports.
  • To participate in projects, process change, treasury system UAT and new product testing.
  • To assist in timely review of market risk limits, policies, guidelines and risk governance process to ensure adherence to market risk framework

Skills/Knowledge

  • Degree with major in Risk Management, Financial Engineering, Quantitative Finance/Economics, Actuarial, Statistics, Engineering or related discipline.
  • Ideally someone with more than 7 years of experience within market risk or trading risk management.
  • Knowledge of treasury product pricing, market risk methodology and trading risk attribution.
  • Strong quantitative skills, IT savvy with good technical/ analytic mindset, possession of good communication and problem-solving skills.
  • A self-starter, ability to work independently and a dynamic team player. Ability to multi-task and work well under pressure with commitment to deliver
  • Excellent oral and written communication skills in English with strong presentation skills.
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