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.