Manager, Group Risk Asset Liability Management - IRRBB Modelling & Simulation

Manager, Group Risk Asset Liability Management - IRRBB Modelling & Simulation

To prepare, monitor and analyse regular Interest Rate Risk in the Banking Book (IRRBB) & Rate of Return Risk in the Banking Book (RORBB) against the approved risk appetite or thresholds and escalate any triggers or breaches in accordance to the approved framework.

To perform regular and adhoc assessment on the IRRBB/RORBB impacts, through simulating the exposure with regard to balance sheet budget or forecast from Business Units and/or BSM, changes in risk assumptions/models, stressful market conditions, new products launching, etc.

To prepare and analyse regular IRRBB reports to Group ALCO, GRCC and BRCC.

To support the development and review of the models used by Group Risk-ALM in the ALM risk reports.

Participate in migration, implementation and enhancement of IRRBB system to new IRRBB system for CIMB Malaysia in accordance with Group policy and industry best practice.

Job Responsibilities

Strategy and Planning

• To support the Bank’s decision-making through the implementation and maintenance of a consistent and effective Modelling and IRRBB/RORRBB framework that complies with regulatory guidelines and Basel recommendations.

Business Performance and Management

Reporting and Analysis

• Monitor the Stress EVE, EVE01 and/or EaR positions of the assigned entities regularly to ensure that risks undertaken are within the risk appetite of the Group.
• Main PIC to simulate exposure for the balance sheet with regard to stressful market conditions, changes in risk assumptions/models, new products launching, etc.
• Assist in preparing, analysing and circulating regular weekly and monthly IRRBB/RORBB and management reporting (including Tableau Dashboard) for assigned entities to GALCO, GRCC and BRCC according to the SOPs and SLAs.
• Assist in preparation of regulatory and compliance required reporting such as GWST, Pillar 3 Disclosure, ICAAP Pillar 2 reports, review IRRBB/RORBB reports from RRU.
• Work with Regional Head of IRRBB/RORBB on regional coordination and monitoring.

Projects and System

• Update assumptions/parameters for system reporting purpose and supply IRRBB/RORBB inputs for Tableau visualization needs, from relevant sources (i.e. Bloomberg, Murex, Reuters, Treasury, Business Unit, Focus Reports).
• Ensure the data accuracy of the report, investigate and understand the data issues in ALM system and provide recommendations to solve the issues.
• Perform data preparation and transformation tasks for Modelling Simulation.
• Participate in IRRBB related system and projects roles, including but not limited to providing requirements, data and requirement mapping, implementation and development, user testing and troubleshooting, etc.
• Perform model monitoring, including calibration and back testing, of new and existing ALM models.
• Facilitate model approval through impact assessment, stakeholder engagement and drafting of proposal for the governing committees.
• Ensure timely and correct implementation of models and assumptions in ALM system/risk measurement.
• Draft and update model documentation and SOP, as well as maintain the model inventory.

Customer

• To assist and support the supervisors to continuously build and maintain strong relationships with various business units, business support function units and other areas of risk management both domestically and regionally.

Regulatory Compliance

• To assist supervisors to address and comply with regulatory requirements from Bank Negara Malaysia in relation to IRRBB/RORBB (where applicable).

Job Requirements

• Minimum a bachelor degree in the relevant discipline (Accounting/Finance/Business/Economics/Financial Engineering/Computer Science).
• Preferably 3 years relevant work experience.
• History of problem solving, able to work autonomously and reliably to deadlines, flexible when faced with new challenges and ad-hoc requests.
• Able to conduct both qualitative and quantitative analysis, and communicate results effectively in both written and verbal form.
• Data Science skills and experience using latest computing techniques (including machine learning) are desirable.
• Proficiency in Excel, Visual Basic, Python or R. Able to code automation scripts.
• Familiarity with databases and able to perform SQL queries.
• International and cross business team worker, with strong interpersonal and communication skills.

**Only shortlisted candidates will be notified