MÔ TẢ CÔNG VIỆC
Risk Consulting is a business solution provided by our Performance Improvement Advisory Services Business Unit. We help clients meet the increasing demands of regulators, shareholders and other stakeholders to ensure robust and reliable approaches to governance, risk management and compliance with regulations. We provide a full suite of governance, risk management and compliance services covering the assessment, design and implementation of governance, risk management, compliance and internal control frameworks, performing board effectiveness assessments, risk assessments, development of risk appetite, tolerances and early warning systems to internal audit department evaluations and set-up and outsource internal audits.
We are currently seeking applications for our Consulting Department in Hanoi offices with the details of the vacancy below:
Key Responsibilities:
• Develop models for products valuation and market risk measures including VaR modelling, e.g. risk-factor modelling, historical simulation;
• Risk not in VaR (RNIV) framework - implementing/ removing through improvements to VaR model;
• Fundamental review of trading book (FRTB) - planning and implementation;
• Conduct validation of model performance, back-testing and stress testing
• Generate, analyse and standardise market risk. Perform market risk advise to senior management, regulators and other key stakeholders
• Analyse trading product, including the review / estimation of risk parameters, product pricing, product structure and regulatory requirements;
• Develop and review Basel II market risk related documentation, policies and procedures;
• Implement Basel II models, manage the scoring and capital computation engines and analytics datamart, conduct UAT and support overall deployment of models
• Conduct training and research and development of new models, methodologies and model applications;
• Interaction with stakeholders including risk managers, traders, model validation, internal audit and regulators;
• Working with Market Risk managers to make the most effective use of VaR models.
YÊU CẦU
Kinh nghiệm
Không yêu cầu
• Undergraduate degree in a quantitative programme, such as Statistics, Mathematics, Actuarial Science, Financial Engineering, etc. Business, Finance and Economics degrees with a strong quantitative focus and highly relevant working experience will be considered. Econometric focus and analysis will be considered as a strong positive. Post graduate degree is an added advantage;
• >3 years of working experience in market risk modeling and management or consulting or risk vendor experiences;
• Very strong analytical skills;
• Strong knowledge of Market Risk / VaR methodologies, Model Validation or Risk Management;
• Familiar with recent Regulatory developments e.g. Basel II, SBV’s Circular 41, FRTB
• Knowledge of banking models - Risk Models, VAR, Market and Counterparty Credit Risk;
• Experience for models development and/or validation of market risk models will be an added advantage.
• Having FRM or CFA is a plus
• Strong PC skills: SAS,R, Matlab - Programming, SQL query and database familiarity; MS Office applications, including advanced spreadsheet and VBA. Knowledge of Treasury system is a plus
• Analytical mind with sound business insight, excellent communicator (verbal and written) with particular emphasis on communicating technical complexity to both technical and non-technical audiences, highly meticulous, and self-motivated
• Self-starter, flexible with a proven ability to work well in teams, as well as being able to function with minimal supervision. People management experience is a plus
• Enable the candidate to be a credible counterpart to business managers and senior management, and the ability to develop on-going ‘trusted advisor’ relationships based on the ability to understand, analyse, discuss and address key business challenges raised
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