Integrated Risk Modeling Junior (Market / Liquidity risk) – ID8147

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK · Hà Nội

Type

Full-time

Work mode

On-site

Level

Staff

Industry

Other

Salary

Thương lượng

Location

Hà Nội, Hà Nội, Hà Nội

Overview

Execute the ICAAP, ILAAP (liquidity stress test), market stress test, IRRBB stress test periodically, enhance the methodology to estimate the impact of scenario on balance sheet, capital and liquidity position.
Develop methodology, tools for Market risk, CCR, Operational risk capital charge requirement (based on Standardized approach and Internal models)
Develop risk metrics, tools (LCR, NSFR…) for Liquidity
Develop measurement for IRRBB (Delta EVE, Delta NII…).
Update and maintain the business requirement document of Market engines, Cash Flow Engine, other Cash-flow- related engine (EIR-IFRS9, Liquidity and IRRBB report); In charge of testing the accuracy of these engines.

Professional qualification:
Graduate university or higher level on major Finance – Banking, Economics; Econometrics and other related majors.
FRM or CFA certificate is plus.
Experience:
Have good background on Market and/ or liquidity risk management
Have strong background on Econometrics and quantitative risk models (VaR, ES….) is a plus
Understand about banking products (especially MM, FX, Bond, Options and other Derivatives) and banking systems.
Skills:
Proficient in computer skills, especially Excel, python or equivalent programming language, and SQL
Fluent user in English speaking, writing, reading and listening
Strong communication skills, team-working skills and problem solving skills

BonusCompany tripsTraining

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