Head, Group Market Risk

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Banking, Market Risk| Kuala Lumpur, Malaysia | Up to MYR 456,000 per annum | 21 Sep 2020

Head, Group Market Risk 

(20046_JC)

Specialisation: Banking, Market Risk

Email Jesse

Location: Kuala Lumpur, Malaysia
Salary: Up to MYR 456,000 per annum
Type: Permanent
Posted On: 21st September 2020

Client Background & Role Summary:

Our client medium sized, regional financial services group. They are looking for a Head, Global Market Risk.

Key Responsibilities:

  • Managing the formulation and development of appropriate Market and Liquidity Risk Management Frameworks and Assets and Liabilities Management Framework (ALM) for the Group, which inter alia includes the following:
    • Interest Rate Management Framework, Base Rate Methodology
    • LCR, NSFR, Liquidity Risk Management framework and Contingency Funding Plans
    • Trading and Banking Book Policy Frameworks
    • Hedging Policy Frameworks
    • Funds Transfer Pricing Frameworks
    • Market Risk Capital Adequacy Framework (MRCAF), ICAAP Framework
    • VAR Model Framework
    • Stress Testing Framework
    • Back Testing Framework
  • Supervising the formulation and development of appropriate treasury products policy covering foreign Exchange, Money Market, Capital Markets and Derivatives & Structured Products to ensure the Line of Business (LOB) are aware of the risk involved and are mitigated in a proper manner.
  • Evaluating new products proposal and providing the product sign off for the independent risk assessment review for market and liquidity risk ensure the risk are addressed accordingly.
  • Supervising the development and preparation of market and liquidity dashboards, including risk concentration analyses and reporting/ escalation of breaches to the following committees.
    • Group Risk Management Committee (GRMC)
    • Group Assets and Liability Committee (GALCO)
  • Monitoring to ensure the committees are informed of the risk exposure and able to form an opinion and make informed decisions from the reports received.
  • Overseeing independent treasury surveillance activities to monitor adherence to the Group’s approved policies / risk limits and regulatory requirements to ensure all activities are being controlled within the limits approved.
  • Overseeing the monitoring of the effectiveness of hedging activities under market risk requirement to ensure exposures are controlled within the approved limits. Overseeing the infrastructure for independent revaluation of treasury products and securities portfolio including valuation /assessment of appropriate third party independent price providers to ensure pricing valuation done in a fair manner.
  • Overseeing the infrastructure for independent revaluation of treasury products and securities portfolio including valuation /assessment of appropriate third party independent price providers to ensure pricing valuation done in a fair manner.
  • Jointly participating in the review of treasury related Master Agreements (eg ISDA and GMRA, etc) alongside with GFM, Group Legal and Treasury Operations, prior to execution of such agreements with the financial institutions (Fl) counterparties and Non Fl customers to ensure overall risk are mitigated and obligations under the agreements are reciprocal.
  • Overseeing the implementation of the Middle Office Module under the Treasury System to risk limits are properly captured and monitored.
  • Overseeing the application of the financial analytics including VAR, to enhance the market risk management to ensure the parameters are used are of the market best practices for monitoring risk exposures.
  • Overseeing the back testing of the VAR model as part of the ongoing model validation exercise to ensure the results are the model used are reliable and updated for valuing risk exposures.
  • Coordinating and jointly participating in Bank wide stress testing exercise to ensure the bank exposure is within the risk appetite as approved by the top management and regulators.
  • Providing assistance/ feedback to Group Finance on the matters relating to statutory and regulatory reporting involving treasury activities, market risk and liquidity risk to ensure risk expires correctly stated to stakeholders.
  • Assisting the GCRO to plan implement various risk management initiatives/ projects to strengthen the Group Risk Management capabilities as second line of defense in risk monitoring and
    mitigation.
  • Assisting GCRO to ensure smooth running of the division and carrying out assigned tasks from GRMC.

Requirements:

  • Tertiary Graduate or Qualified Professional with at least 10 years experience in banking and financial industry, with exposure to risk management/ internal audit/ treasury dealing and operations/ accounting.
  • Knowledge of treasury products/operations.
  • Knowledge of market and liquidity risk management approaches/techniques.
  • Knowledge of ALM and FTP approaches/techniques.
  • Knowledge of relevant regulations governing treasury operations and risk management.
  • Awareness of best practices.
  • Awareness of market trends.

If you are interested, kindly email your updated resume to Jesse at jesse.chng@mindmerge.com.my or click “Apply Now”. Regretfully, only shortlisted candidates will be contacted. Thank you!