Integrated Risk Modeling Junior (Market / Liquidity risk) - HN - TA133

Job Description

• Execute the ICAAP, ILAAP (liquidity stress test), market stress test, IRRBB stress test periodically, enhance the methodology to estimate the impact of scenario on balance sheet, capital and liquidity position.
• Develop methodology, tools for Market risk, CCR, Operational risk capital charge requirement (based on Standardized approach and Internal models),
• Develop risk metrics, tools (LCR, NSFR…) for Liquidity
• Develop measurement for IRRBB (Delta EVE, Delta NII…).
• Update and maintain the business requirement document of Market engines, Cash Flow Engine, other Cash-flow- related engine (EIR-IFRS9, Liquidity and IRRBB report); In charge of testing the accuracy of these engines.

Job Requirements

Professional qualification:

• Graduate university or higher level on major Finance – Banking, Economics; Econometrics and other related majors.
• FRM or CFA certificate is plus.

Experience:

• Have good background on Market and/ or liquidity risk management
• Have strong background on Econometrics and quantitative risk models (VaR, ES….) is a plus
• Understand about banking products (especially MM, FX, Bond, Options and other Derivatives) and banking systems.

Skills:

• Proficient in computer skills, especially Excel, python or equivalent programming language, and SQL;
• Fluent user in English speaking, writing, reading and listening;
• Strong communication skills, team-working skills and problem solving skills;

• Competitive salary and bonus package
• Staff loan with special interest rates
• Training courses based on the job, Training framework/Learning RoadMap for each position
• Insurance in accordance with Labor laws + VPBank Care insurance for all employees. (insurance covered for family members for entitled employees);
• Annual leave (varied based on job grade)
• Travel allowance
• A dynamic and friendly working environment, full of great opportunities to develop your career and abundant interesting activities to join (Sports competitions, talent contests, teambuilding…)
• Working time: from Monday to Friday & 2 Saturday mornings/month.