Snr Irr Portfolio Analyst

Working Hour
- Regular Hours
- Monday - Friday- Business Area
- Risk & Credit Management- Location
- Malaysia - Kuala Lumpur- Description

**Primary Objective**:

- Prepare and analyze interest rate risk in the banking book (IRRBB) measurement for stress test/ICAAP, internal and external reporting
- Establish and review risk limits
- Review and monitor behavioral models to support IRRBB measurement
- Analyze and provide qualitative commentaries of risk exposure and behavioral models output
- Assessment of risk elements in new products
- Provide support to manage and ensure successful implementation of ALM projects
- Analyze and provide basic commentaries in meeting pack
- Support GALCO, GCRC, IBRMC, BRC, BOD with respect to IRRBB and analysis for information and strategizing

**Key Responsibilities**:
**Strategy and Planning**
- Provide support to Head, Group Interest Rate Risk Management & Reporting and Section Head, Group Interest Rate Risk Reporting to ensure timely completion and accuracy of ALM risk management reporting; and compliance of risk thresholds to ensure effective risk control
- Maintain appropriate relationship with internal stakeholders to ensure ALM risk management is embedded in business strategy or business plan for a risk oriented practice or culture

**Risk Reporting**
- Prepare and review ALM Policy/Guidelines/Operational Manuals/User Guides to reflect the risk management measurement, monitoring and control
- Prepare / enhance / maintain IRRBB risk reporting including simulations of NII/EAR/EVE for internal, regulatory, ICAAP and stress testing for efficient and accurate risk quantification and monitoring purpose
- Source historical data for analysis and benchmarking of setting risk limits for prudent risk management
- Identify, measure, monitor, and control interest rate risk under normal market conditions, under stress scenario, projection; earnings-at-risk and economic value of equity for effective risk management
- Review Regional Branches/Subsidiaries reports to ensure accuracy and timeliness
- Analyse and write summary of qualitative commentaries for IRRBB reports for Regional Branches/Subsidiaries and simulated positions
- Follow up with Regional Branches/Subsidiaries on action plans of non-compliances to ensure breaches are regularized within timeframe
- Ensure compliance and completion of identified internal/external audit findings
- Maintain appropriate relationship with internal stakeholders to ensure balance sheet risk management is embedded in business strategy or business plan for a risk oriented practice or culture
- Conduct review (including update of data/model’s drivers) and monitor behavioural models in supporting IRRBB ICAAP and stress test, escalate to Risk Modelling if there is any significant deterioration that warrant model redevelopment
- Back-up Head in ensuring smooth running of the BAU and ad-hoc request in his or her absence

**Product Assessment & ALM Projects Support**
- Assist to manage timeliness of system implementation for efficiency in reports production and output accuracy
- Work with Group ALM Risk Governance/Method on the development / enhancement / maintenance of related risk models and parameters in KRM-ALM System to produce accurate risk reports

Any other duties that may be assigned by GCRO, Head of Group ALM, Head of Group Interest Rate Risk Management/Reporting & Product Assessment or Section Head, Group Interest Rate Risk Reporting from time to time.
- Requirements

**Requirements**:
Diploma - risk management, banking & finance, economics, mathematics actuarial or similar related degree.
- Chartered Banker, BRM, FRM, PRIMA - added advantage

5 years of professional experience in Risk Management, Treasury, Asset Liability Management or Finance operations; preferably with strong interest rate risk/liquidity risk management
- Strong understanding of Group ALM financial reports and ALM techniques
- Strong communication, writing and influential skills to direct & influence other business lines
- Strong analytical and relationship/team building skills
- Acquire strong Microsoft office tools in excel, word and power point
- Flexible & able to quickly adapt to different & difficult situations
- Benefits

Dental, Education support, Miscellaneous allowance, Medical, Loans, Sports (e.g. Gym), Parking, Vision, Regular hours, Mondays - Fridays, Casual Business Wear, Performance Based Rewards