• Competitive
  • Singapore
  • Permanent, Full time
  • OCBC Bank
  • 20 Oct 17

AVP, Group Risk Management - Asset Liability Management

AVP, Group Risk Management - Asset Liability Management

This is an exciting role in the Policy, Analytics & Supervisory team which provides key support to senior management eg Group Asset Liability Management Committee (GALCO) and Market Risk Management Committee (MRMC). The candidate will have some day-to-day direct exposure with the Head of MRM-ALM and colleagues within the MRM-ALM team, and frequent exposure with business/Corporate Treasury/IT. The candidate will also have opportunities to interact with senior management including the CRO, GALCO and MRMC.
Roles and Responsibilities:
  • Support the roll-out of key MRM-ALM initiatives, including the Basel interest rate risk in banking book (IRRBB) measures such as ∆EVE and ∆NII and models such as interest rate profiling of non-maturing deposits and early redemption of fixed deposits
  • Support the annual IRRBB limits calibration
  • Monitor the IRRBB usage against limits and make recommendation to management
  • Provide support to other team members in the annual ICAAP and IWST exercise
  • Support the overseas and Development teams in the rollout of the IRRBB system for the Bank's overseas locations
Reporting to:
  • Head of MRM-ALM Policy, Analytics and Supervisory


Qualifications
  • 4-8 years of experience in risk management and relevant field
  • Performance driven, forward look and able to think outside of the box
  • Strong analytical and data mining skills
  • Knowledge of VBA, SQL is preferred
  • Experience in analysing and reporting interest rate and liquidity profile for senior management and Risk Committee
  • Independent, fast learner with good communication skills
*LI-ML