Integrated Risk managementNGÂN HÀNG TMCP VIỆT NAM THỊNH VƯỢNG - VPBank

1. Daily work.
• Execute the ICAAP and ILAAP (liquidity stress test) on semi-annual basis: continuously enhance the methodology to estimate the impact of scenario on balance sheet, capital and liquidity position.
• Execute MR/CCR/OR capital charge calculation engines on monthly basis. continuously enhance the methodology and calculation process to follow SBV regulations.
2. Market and Liquidity models and measurements
• Develop methodology, tools for Market risk, CCR, CVA capital charge requirement (based on Standardized approach and Internal models),
• Develop risk metrics, tools (LCR, NSFR...) for Liquidity
• Develop measurement for IRRBB (earning at risk, economic at risk...).
• Update and maintain the business requirement document of Market risk capital charge engines, other Cash-flow- related engine (EIR-IFRS9, Liquidity and IRRBB report); In charge of testing the accuracy of these engines.
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 at least 1-3 year experience on working 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.
• Proficient in computer skills, especially Excel and SQL;
• Fluent user in English speaking, writing, reading and listening;
• Strong communication skills, team-working skills and problem solving skills;