Vice President, Treasury Credit Risk

3 days ago

Kuala Lumpur, Kuala Lumpur, Malaysia AFFIN Group Full time

Vice President, Treasury Credit Risk

Apply Locations

Menara Affin, TRX

Job Purpose

To manage and oversee credit risk exposure from market-traded instruments, ensuring proper risk assessment, monitoring, and mitigation. This role involves direct reporting to the Head of Credit Risk & indirect reporting to Head of Market Risk, ensuring close collaboration and alignment of treasury credit risk management across both functions. The role also ensures that risk policies and practices are well-integrated with the overall enterprise risk strategy under the Group Chief Risk Officer's oversight.

Accountabilities
  1. Policy Development & Compliance
    • Lead the development and maintenance of credit risk policies tailored to the bank's treasury operations.
    • Ensure compliance with all regulatory requirements, including BNM guidelines and Basel regulations, and work to integrate market-traded credit risk into the broader enterprise risk management policies.
    • Ensure that market-traded credit risks are incorporated into the broader market risk framework.
  2. Credit Risk Management for Market-Traded Products
    • Manage and assess credit risk exposure for market-traded products, including derivatives, fixed income, and FX.
    • Review and conduct credit risk assessment for market-traded product proposals (new and variation).
    • Conduct counterparty credit assessments, set limits, and ensure ongoing monitoring of credit exposures.
    • Collaborate with both the Credit and Market Risk teams to assess the impact of market fluctuations on credit risk.
    • Provide insights and recommendations on counterparty risk management.
    • Deliver consolidated risk reports and provide strategic advice on managing counterparty and credit risk exposures.
    • Create and maintain efficient treasury credit control procedure relating to treasury products and systems.
    • Assist with the rollout of new risk systems, including testing of risk exposures.
    • Perform market risk control and traded credit risk/counterparty credit risk control management function for risk arising from Group Treasury activities.
    • Monitor portfolio from a market risk and traded credit risk/counterparty risk perspective and identify/escalate issues/trends to Senior Management and relevant stakeholders.
  3. Exposure Calculation and Counterparty Risk Monitoring & Reporting
    • Calculate and monitor exposures using methods such as Potential Future Exposure (PFE), Current Exposure Method (CEM), and SA-CCR.
    • Oversee the ongoing assessment of counterparty limits, ensuring adherence to legal agreements (ISDA, CSA, etc.).
    • Monitor and report on potential changes in counterparty credit profiles and market conditions that could impact exposure.
    • Provide detailed and accurate reporting on risk exposures to both the Head of Credit Risk and the Head of Market Risk, ensuring consistent communication with the Group Chief Risk Officer.
  4. Engagement with internal and external stakeholders regarding credit risk management strategies for market traded products.
  5. Other ad-hoc tasks assigned by the superior/Head, Credit Risk/Head, Market Risk/Group Chief Risk Officer.
Job Requirements
  • Bachelor's Degree in Finance, Economics, Accounting, Risk Management, Business Administration, or a related field. Master's degree or professional certifications (e.g., CFA, FRM, PRM) are highly desirable.
  • 8 years of experience in credit risk management, including at least 5 years of managing credit exposures for market-traded products.
  • Familiarity with treasury operations and market risk factors.
  • Expertise in PFE, CEM, SA-CCR, and exposure calculations, with a strong understanding of market-traded products.
  • Experience with risk management systems such as Quantum, Murex, Bloomberg, or similar platforms.
  • Demonstrated experience in managing both market and credit risk within an institutional setting.
  • Strong ability to communicate risk positions and recommendations clearly to senior management and external stakeholders.
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