Expert, Market and Liquidity Risk Analysis

Job Purpose
The job holder is responsible for:
- Research and advice on market risk (MR) management in terms of risk metrics, risk analysis, control system / tools, data and system to improve quality of MR risk management.
Key Accountabilities
1. Responsible for human resource management and development
- Research documents, national/international standards, documents of partners in the field of expertise (professional documents, governance trends, documents describing risk measurement/ risk management...), select and put into application.
- Participate in professional knowledge/ risk management governance/ policy training courses to team members
2. Professional responsibilities
2.1. MR Policy
- Develop the system of regulations & framework on risk management to ensure the consistency, close linkage and suitability with bank overall of risk management framework
- Develop unit's procedures and guidance for MR.
- Participate in train development and knowledge sharing on policies, process and guidance.
- Support units in the bank in reviewing relevant internal documents.
2.2. MR acceptance: develop risk indicators, set risk appetite, risk limit
- Assess business's limit proposal, identify MR from business initiative, product
- Design and propose risk mitigation solution to the unit's Director/ Senior manager
2.3. MR analysis and control: early-warning, stress test, risk forecasting...
- Support Director/ Senior manager in limit control, early-warning; limit breach assessment to comply with the regulations on MR and regulatory requirement
- Guide Senior officer, Officer analyze portfolio risk (static and forecast), Stress test, scenario analysis, ad-hoc report to propose recommendation on change of portfolios or needed actions; Review the report to submit to the unit's Director/ Senior manager.
2.4. MR capital measurement
- Study, develop methodology/tools and implement capital calculation compliance according to SBV and ICAAP requirements for MR.
- Research and support business units in measuring capital efficiency.
2.5. MR data and system
- Cooperate with the Model team on building a database for the limit set-up, monitoring, management and portfolio analysis and propose to Director/ Senior manager
- Guide Senior officer, Officer to implement the development, improvement and operation of measurement and control systems and tools of the unit
2.6. MR transformation
- Research under professional guidance of Senior expert on risk management standards, SBV requirements and propose the implementation roadmap to the Director/ Senior manager
3. Other tasks:
- Research and propose improvements in risk management
- Other tasks assigned by Director/ Senior Manager