Expert, Market and Liquidity Risk Analysis

Job Purpose

The job holder is responsible for:

- Research and advice on market risk (MR) management in terms of risk metrics, risk analysis, control system / tools, data and system to improve quality of MR risk management.

Key Accountabilities

1. Responsible for human resource management and development

- Research documents, national/international standards, documents of partners in the field of expertise (professional documents, governance trends, documents describing risk measurement/ risk management...), select and put into application.

- Participate in professional knowledge/ risk management governance/ policy training courses to team members

2. Professional responsibilities

2.1. MR Policy

- Develop the system of regulations & framework on risk management to ensure the consistency, close linkage and suitability with bank overall of risk management framework

- Develop unit's procedures and guidance for MR.

- Participate in train development and knowledge sharing on policies, process and guidance.

- Support units in the bank in reviewing relevant internal documents.

2.2. MR acceptance: develop risk indicators, set risk appetite, risk limit

- Assess business's limit proposal, identify MR from business initiative, product

- Design and propose risk mitigation solution to the unit's Director/ Senior manager

2.3. MR analysis and control: early-warning, stress test, risk forecasting…

- Support Director/ Senior manager in limit control, early-warning; limit breach assessment to comply with the regulations on MR and regulatory requirement

- Guide Senior officer, Officer analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions; Review the report to submit to the unit's Director/ Senior manager.

2.4. MR capital measurement

- Study, develop methodology/tools and implement capital calculation compliance according to SBV and ICAAP requirements for MR.

- Research and support business units in measuring capital efficiency.

2.5. MR data and system

- Cooperate with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis and propose to Director/ Senior manager

- Guide Senior officer, Officer to implement the development, improvement and operation of measurement and control systems and tools of the unit

2.6. MR transformation

- Research under professional guidance of Senior expert on risk management standards, SBV requirements and propose the implementation roadmap to the Director/ Senior manager

3. Other tasks:

- Research and propose improvements in risk management

- Other tasks assigned by Director/ Senior Manager

Success Profile - Qualification and Experiences

- Experience

+ Expertise: Minimum 5 years of experience in market risk management / Treasury Finance controlling / Finance market trading or more than 8 years of experience in related fields of the financial and banking industry

- Degree/Profession:

+ Candidates who have graduated from university or master's degree in one of the following majors: Major in Finance, Risk Management in Finance, Mathematics and Finance.

+ Priority is given to candidates who have more international certificates in Finance, widely accepted financial risk management such as CFA, FRM.

- Expertise:

+ Understanding the market risk management system

+ In-depth understanding of Vietnam's financial market/products

+ Ability to self-study, self-update knowledge of the financial market according to the experience / new knowledge updated in the industry to apply effectively.

- Minimum TOEIC 600