AVP- Market & Liquidity Risk

Job Description

Job Purpose

This position will assume responsibility in the Market Risk and Liquidity Risk Management. The responsibility covers the risk monitoring, risk reporting, regulatory reporting, risk governance, and risk analytics. He / she will work in partnership with Global Market in Asia to ensure that the balance sheet liquidity and capital comply with regulatory requirement and that the market risk are managed according to the desk’s mandate within the risk limits. The liquidity risk scope will also include the LCR, NSFR, liquidity stress test, IRRBB and liquidity risk modelling. The market risk scope covers the FX and Fixed‑income asset classes; both cash and derivatives. The position will also take on counterparty credit risk, credit risk and ICAAP (wherever applicable according to local regulations) duties as needed.

Key Accountabilities

Liquidity and Market Risk

• Prepare daily and monthly risk reporting and analysis. The market risk scope includes VaR, DV01, CS01, FX NOP, MAT and Investment Notional. The Liquidity risk scope includes liquidity gap reporting, IRRBB, and liquidity risk ratios applicable for Asia countries.
• Prepare MAS649 LCR monthly regulatory reporting for Singapore.
• Conduct liquidity stress test and liquidity behavioural assumption review.
• Provide analytical support on Counterparty Credit Risk, including PSR (Pre‑Settlement Risk) reporting, monitoring and stress test.
• Report and analyze portfolio credit risk including credit portfolio exposure, ECL, concentration, stress test and ECL.
• Perform the daily risk forecast simulation of both market and liquidity risk. Discuss risk findings and provide recommendations to Global Market desks.
• Monitor market risk exposure and the risk limit. Anticipate the risk and substantiate the day‑to‑day movement in risk and P&L against the market development. Investigate and escalate the breach, and engage Global Markets dealers to rectify the excess.
• Work in partnership with business stakeholders to develop the market and liquidity risk appetite including the formulation of funding strategy and balance sheet forecast.
• Take ownership of all other matters pertaining to Asia Market and Liquidity Risk. Liaise with Head Office’s Market Risk, Liquidity Risk, Credit Risk and other stakeholders in Asia.

Risk Governance

Risk Projects

Qualifications

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