RISK ALMT stream contributes to the definition of the risk framework surrounding ALM-T activities and Group‘s liquidity management. RISK ALMT also independently assess and monitor the Bank’s balance sheet liquidity risk management and the structural interest rate and FX risk framework.
Key Responsibilities
- Contribute to the definition of the risk framework surrounding ALM-T APAC activities (risk policies, procedures, model implementation, limits/guidelines, liquidity objectives, prospective scenarios and overall governance), in order to efficiently manage the risks.
- Represent RISK in ALCOs in the region.
- Represent RISK in other committees, such as TAC/NAC for the approval of new deals and exceptional transactions related to ALM-T activities.
- Market, IRRBB, FXBB and liquidity risk limits quantification and monitoring by investigating, explaining and reporting all excesses over the limits. Full limits review will be performed on an annual basis.
- Prepare the monthly APAC Risk Dashboard with the help of the local sites, and present it to the APAC CIB ALM-T Risk Committee.
- Coordinate the compliance of ALM-T APAC activities with Banking Laws.
- Be responsible for the timely, high quality delivery of ALM-T APAC transversal projects.
- Review regulatory metrics for ALM-T APAC and interact with local supervisors as required.
- Check the accuracy of the risk systems to represent ALM-T local risks.
- Represent RISK ALMT APAC in relevant Global risk committees.
- Assist the central Models team in reviewing new models and methodologies used by APAC ALM-T and perform regular checks that existing local model assumptions and parameters are still relevant.
- Contribute to the intraday liquidity risk management framework and methodology currently being worked on by PLM team in ALM-T APAC.
Competencies (Technical / Behavioral)
- Strong analysis skills
- Liquidity and funding risk
- Market and counterparty risk
- Communication ‐ written and verbal
- Project management skills
- Work in international environment
