CIMB Bank Berhad

Head, Market Risk Quantitative

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

Brief Posting Description:


Head of Market Risk Management Quantitative Team: Market Risk Management - Group Risk, is to perform independent validation of the Bank’s financial models used by the front office for the fair-valuation and risk measurement of traded financial instruments.




Key Responsibilities:


  • Identify all market risk factors and parameters for new products;
  • Perform valuation model validation for pricing and risk measurement of financial instruments;
  • Document all validation procedures, results and findings; and highlight to management the areas of risk and weaknesses;
  • Review and update documentation to ensure completeness of model library database;
  • Research and implement appropriate methodologies to compute and derive market parameters that are currently not observable in the market;
  • Perform sensitivity tests on valuation when major parameters change, back-testing and stress testing; and investigate the results if deemed necessary; Review market risk assumptions under stress;
  • Review and update policy and procedures manual;
  • Participate in system testing / implementation; Work together with Market Risk functions to provide technical knowledge and support for rate-source validation for mark-to-market purposes, as necessary;
  • Act as a source of independent technical knowledge for the Group on matters pertaining to market risk models or valuation techniques;
  • Keep up to date with academic, technical and industry developments in the field of risk model design, development, validation and stress testing, and general regulatory requirements Interaction with regulators and external auditors as required.



Job Requirements:


  • Minimum 7 years work experience in similar capacity with front office derivatives experience preferred
  • Master level or PhD Degree holder or equivalent expertise in a relevant discipline
  • Strong interpersonal skills
  • Excellent oral and written communication skills in English.
  • Team leadership, managerial and  facilitation skills
  • Credible advisor – thorough understanding of financial products as well as industry and regulatory standards e.g. Basel, and accounting concepts
  • Collaborative partner – ability to communicate effectively, clearly and concisely at all levels (internally and externally)
  • Strong presentational skills

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