Market Risk Analytics & Initiatives Off

MAJOR RESPONSIBILITIES: Prepares daily and ad-hoc market risk reports submitted to the Board of Directors and Senior Management; Ensure risk reports are accurate, complete and timely; Monitor Treasury’s adherence to approved risk limits/triggers. Analyze/investigate breaches and escalate to Department Head promptly. Coordinate with trader/operations for explanation of breaches and require corrective action plan. Responsible for the analysis of market limits/triggers and usages, back-testing exceptions, sensitivity and stress tests on various Treasury portfolios (e.g. bonds, equities, foreign exchange and derivatives, etc.). Investigates large movements, variances, discrepancies in positions, mark-to-market and PNL. Conducts the annual review of the market risk limits structure supported by relevant studies. Maintains the necessary data for comprehensive analysis of limits usage and structure. Develops risk measurement models for new products/instruments of the Bank. Enhances/modifies existing risk models/processes used by the department/division. Coordinates with internal audit or external consultants for independent validation of risk management models. Conducts simulations/studies/analyses (i.e. scenario analysis and stress tests, markets, products and developments, etc.) required from the Department and for the Asset Liability Committee ( ALCO ), Risk Oversight Committee (ROC) and Board of Directors (BOD). Performed 2 weeks in every quarter. Handles special projects of the department/division. Includes Team Leading User Acceptance Tests of assigned systems. Responsible for the scoping and designing of test plans to ensure that all of the divisions requirements are all covered and implementation is effective/efficient Serves as the divisions’ overall coordinator for the annual reports. Responsible for preparation of write ups, computations and necessary supporting documents for disclosure in the Bank’s annual report on market and liquidity risk. Reviews the accuracy of Market Risk Capital Charge and Risk-Weighted Assets for the Bank’s Capital Adequacy Ratio computation Reviews Product Programs submitted by various units. Provides relevant inputs timely and recommend to Department Head for endorsement to Division Head. Conducts audit walk through (BSP/Audit/consultants) of the unit’s reporting processes and logic/use of risk models. Serves as back up for the Market Risk or Liquidity Risk Department Head.