CIMB Bank Berhad

Manager - Asset Liability Management (IRRRBB), Group Risk

Location
Kuala Lumpur, Wilayah Persekutuan Kuala Lumpur
Salary
tba
Posted
18 Aug 2022
Closes
18 Sep 2022
Approved employers
Approved employer
Job role
Compliance/risk
Contract type
Permanent
Hours
Full time
Experience level
Manager

Job Responsibilities:

 

  • To prepare, monitor and analyse regular Interest Rate Risk in the Banking Book (IRRBB) & Rate of Return Risk in the Banking Book (RORBB) reports in accordance to the approved framework
  • To monitor the IRRBB / RORRBB positions against the approved risk appetite or thresholds and escalate any triggers or breaches in accordance to the approved framework
  • To perform regular and adhoc simulation of the IRRBB / RORBB positions incorporating budget or forecast from Business Units and/or BSM
  • To assist in assessing the impact on the IRRBB / RORBB through simulating the exposure with regard to stressful market conditions, changes in risk assumptions/models, new products launching, balance sheet growth etc
  • Assist to maintain and enhance the ALM-FOCUS system to cater for the IRRBB / RORBB requirement in accordance with Group policy and industry best practice

 

 

Job Requirements:

 

 

 

  • Minimum a bachelor degree in the relevant discipline (Accounting/Finance/Business/Economics/Financial Engineering/Computer Science)
  • Preferably 4-5 years relevant work experience
  • Able to conduct both qualitative and quantitative analysis, and communicate results effectively in both written and verbal form
  • Data Science skills and experience using latest computing techniques (including machine learning) are desirable
  • Proficiency in Excel, Visual Basic, Python or R. Able to code automation scripts
  • Familiarity with databases and able to perform SQL queries
  • Team player with strong interpersonal and communication skills History of problem solving, able to work autonomously and reliably to deadlines, flexible when faced with new challenges and ad-hoc requests

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