Integrated Risk Modeling Junior (Market / Liquidity risk) – ID8147

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;
Benefits
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.
Ngành nghề: Ngân hàng, Tài chính / Đầu tư, CNTT - Phần mềm
Kinh nghiệm: null Năm
Cấp bậc: Nhân viên
Hình thức: Nhân viên chính thức
Địa điểm: Hà Nội