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Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK

Integrated risk modeling Junior (Market and/or Liquidity risk) - Hà Nội - TA107

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK
Updated: 02/07/2024

Employment Information

Benefits

  • Insurance
  • Travel
  • Allowances
  • Incentive bonus
  • Healthcare
  • Training Scheme
  • Salary review
  • Business Expense
  • Annual Leave

Job Description

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.

Job Requirement

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

Skills: 

  • 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; 

     Benefits:

  • Competitive salary and bonus package
  • Staff loan with special interest rates
  • Traing 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

More Information

  • Job type : Permanent
  • Salary: Competitive

Company Overview

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK

https://tuyendung.vpbank.com.vn/Company size: 10.000-19.999
Chào mừng Bạn đến với Miền Đất Nhân Tài! Trong chiến lược phát triển 5 năm lần thứ 3 (2022-2026), VPBank xác định mục tiêu trở thành ngân hàng có vị trí...Detail

Integrated risk modeling Junior (Market and/or Liquidity risk) - Hà Nội - TA107

Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK

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Ngân Hàng TMCP Việt Nam Thịnh Vượng - VPBANK

Employment Information

Integrated risk modeling Junior (Market and/or Liquidity risk) - Hà Nội - TA107

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Hỗ Trợ Ứng Viên: (84.28) 3822-6060 hoặc (84.24) 7305-6060
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