Work as a key resource to the Manager of Market & Liquidity Risk, assisting with the management of the market & liquidity risk control function in the pursuit of its targets
Ensure that methodology and assumptions used for liquidity risk measurement are in line with regulatory and the market risk policy, and documented appropriately including liquidity risk policies and procedures.
Prepare the monthly market risk weighted assets reports for Capital Requirement Directive (CRD) report.
Running and evaluating results of stress tests and scenario analysis.
Periodic review of stress test and scenario analysis underlying assumptions
Responsible for liquidity and interest rate risk related works including providing data/analysis on key risk indicators for ALCO and Treasury reports.
Review and setting of trading limits for FX, FI and ALM limits for onshore and offshore counterpartie...