Head of Treasury Risk Management

Head of Treasury Risk Management-(250000K2)

Description

Roles and Responsibilities

Responsible for accurate and timely preparation of management and risk committee dashboards.

Perform annual review and alignment of risk policies to Head Office, incorporating local regulatory requirements.

Perform back-testing and stress-testing on the bank’s market risk exposures and assess its results. Troubleshoot any observed irregularities from the Murex system.

Review stress test parameters and implement stress testing program to comply with regulatory & internal requirements.

Review and calibrate parameters / limits for new methodologies / market risk measurements in alignment with Group.

Evaluate new product or product variation proposals and ensure the relevant market risk concerns are fully addressed before sign off on product approval & product launch.

Perform market risk simulations to assess potential limit utilization on impending deals.

Identify market risk concentrations, perform market risk analysis & monitor limit utilizations. Escalate any market risk concerns to appropriate parties in a timely manner.

Identify & initiate development / refinement of market risk information, measurement, assumptions & risk analysis for assessment at granular levels.

Identify gaps / weaknesses in market risk processes and facilitate resolution of any governance, controls, audit & regulatory issues.

Responsible for UAT testing of new product, change in model, change in curves / methodologies to ensure correct risk identifications, measurements, implementations, and reporting.

Perform FRTB analysis and ensure correct implementation and measurement of FRTB results.

Participate in regulator requests, audit exercises, process changes and initiatives of MRM.

Qualifications

Requirements

Preferably more than 8 years experience in market risk management field.

Degree in Finance, Mathematics, Banking, Economics or related fields.

Additional professional qualifications such as CFA or FRM will be advantage.

Working knowledge of Market Risk / Product Control processes, FRTB, and related Bank Negara Malaysia (BNM) regulatory requirements.

Strong knowledge in Treasury products across asset classes in terms of pricing and risk measurements.

Possess end-to-end process and control mindset. Ability to translate regulatory and policy requirements into operational workflows.

Proficiency in MS Excel, MS Powerpoint, MS Word, Bloomberg terminals. Knowledge in VBA is an advantage.

Familiar with front office systems (Murex) is an advantage.

Strong people skill and excellent team player.

Excellent planning, organizing & coordinating skills. Good interpersonal, communication, presentation & negotiation skills. Good spoken and written English with policy / report writing skills.