Job Responsibilities Lead a team for monitor and analyse day-to-day risk monitoring reports and perform ad hoc analysis as and when required Perform interest rate risk stress test, both for regular, regulatory requirement or ad Hoc stress testing, and regular review on suitability and appropriateness of methodologies, parameters and scenario settings Conduct annual review on behavioral models, both on the model assumptions and calibration using SAS Involve in related system enhancement / implementation of regulatory standards / new risk management infrastructure and head office requirements, including provide users specification and requirements, communicate with the developer, conduct UAT as well as ongoing system maintenance Perform update and review on the operational manual related to day to day reports. Job Requirements Degree holder in Finance, Quantitative Analysis, Accounting, Economics or related disciplines Minimum 5-10 years' experience in the banking industry preferably with relevant experience in Banking Book Interest Rate Risk Management Professional qualification in FRM, CFA & CPA or equivalent will be an advantage Sound knowledge in general banking activities, treasury business and financial products and latest regulatory requirements on Banking Book Interest Rate Risk Management Proficient Good command of MS Office and computer analytic applications such as SAS, VBA, Bloomberg, Reuters, knowledge in Yield Book will be an advantage Self-motivated and willing to work under pressure Solid experience in system implementation process, including initiate user requirements, communicate with the developers, perform UAT testing and ongoing maintain system consistency Solid knowledge in the design and maintain of IRRBB behavioral and option models Strong team leadership with sound communication skill. Fluent Mandarin, English and Cantonese in both oral communication and writing
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