Job Description

Asset Liability Management (ALM)

1. Analysis and projection of interest rate risk in banking book (IRRBB) Earnings-at-risk and Economic Value of Equity (EVE) relative to risk thresholds
2. Provide monthly and ad-hoc analysis on the key drivers of liquidity management of Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) relative to risk thresholds.
3. Propose and review hedging strategies and hedge effectiveness under hedge accounting for managing interest rate risk in the Banking Book.

Funds Transfer Pricing (FTP)

4. Perform monthly performance attribution analysis on ALCO banking Book. This is based on FTP volume rate analysis.
5. Undertake annual review of FTP framework and behavioral maturity of loan and deposit products for internal funding purpose.
6. Review and validate the budgeted FTP assumptions used by Line of Business (LOBs) based on historical behavioral maturity.
7. Review and update FTP framework policy to align to the bank’s overall ALM strategy.

Bond Portfolio

8. Review monthly update on Treasury’s bond portfolio risk exposure to management committees and board.
9. Perform monthly risk-return performance attribution for bond portfolios.
10. Review the hedging strategies and hedge effectiveness under hedge accounting for Treasury assets and liabilities

Others

11. Prepare ad-hoc reporting for Treasury activities based on request from Finance regulatory reporting team and Group Risk on information required.
12. Act as contact person between GFM and the line of business in providing loan pricing guidance based on the FTP methodology

Job Requirements