CIMB Bank Berhad

Manager - Asset Liability Management (IRRRBB), Group Risk

Kuala Lumpur, Wilayah Persekutuan Kuala Lumpur
18 Aug 2022
18 Sep 2022
Approved employers
Approved employer
Job role
Contract type
Full time
Experience level

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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