You will be part of a team within BSRM that is responsible for models in the banking book and customer analytics. This modelling includes development and maintenance of risk models, assumption studies and review for the Bank Group, including subsidiaries and overseas branches and agencies. The customer analytics focuses on centralized enterprise level advanced customer analytical studies to drive a holistic asset and liability management through data-driven statistical analysis.
Roles and Responsibilities
Support the modelling and customer analytics team in delivery the modelling and studies KPIs.
Develop modelling methodology, verify assumptions, conduct studies as per regulatory and balance sheet risk management requirement
Maintain liquidity and banking book interest-rate risk models (Non-Maturity Deposit Behavior Models etc.). Responsible for conducting statistical analysis, generating statistical summaries, back testing liquidity assessments. Annual review the existing models with Risk Analytics Department and Audit and ensure their robustness by considering best market practice and changing regulatory, markets and business activity
Ensure data accuracy, quality and integrity at all times. Work closely with project team to ensure the implementation of the balance sheet risk models in the Enterprise Risk Management system
Source and maintain required customer data for the analytical studies to support Central Treasury for holistic asset and liability management decisions
Work with key stakeholders Central Treasury and Product Groups to identify areas to build/enhance advanced data analytics
Ph.D/Master/Bachelor majoring in Financial Engineering, Mathematics, Statistics or equivalent professional certifications with relevant quantitative experience in a financial institution, holder of FRM/PRM will have an advantage
Candidate familiar with SAS language will have an advantage
Team player, self-motivated and resourceful
Numerically inclined with a strong analytical mind
Highly proficient in the use of Microsoft Excel and Access