Regional ALM Model Validation
Strategy & Planning
- Lead the independent validation of ALM models used to measure liquidity risk and IRRBB / RORBB;
- Assess model design, data integrity, assumptions, and implementation accuracy;
- Conduct quantitative testing: benchmarking, backtesting, sensitivity analysis;
- Deliver and document reports and dashboards to stakeholders, highlighting validation outcomes, emerging risks, and strategic implications;
- Maintain up-to-date knowledge of regulatory requirements and industry best practices; and
- Responsible to update and maintain the Model Validation Framework in accordance to the established governance.
Business Performance and Management
- Maintain model inventory and validation records including approval dates, monitoring frequency, calibration history, and implementation timelines;
- Support automation and streamlining of validation processes and reporting infrastructure.
People Management
- Liaise actively with ALM Model Development, Liquidity Risk, IRRBB / RORBB, BSDM & other regional ALM teams.
Regulatory Compliance
- Ensure work are in compliance with internal and regulatory guidelines.
Regulatory Stress Testing
Strategy & Planning
- Responsible to lead the enhancement and execution of the group’s regulatory liquidity risk stress testing and simulation framework;
- Review the idiosyncratic scenario, coordinate the approach and timeline with countries, simulate the liquidity risk positions, prepare reports and results;
- Extend the simulation into a rolling basis as required by BNM;
- Work closely with the capital and finance teams to closely link the capital, solvency and liquidity risk as part of the GWST; and
- Ensure outcomes are reasonable and align with the Regulatory Recovery Planning (RP) requirements.
Business Performance and Management
- Review, analyse and report the GWST results to GALCO, GRCC and BRCC;
- Ensure the reporting and generation of results follows the internal procedures; and
- Support automation and streamlining of the GWST processes and reporting infrastructure.
People Management
- Liaise actively with ALM Model Development, Liquidity Risk, IRRBB / RORBB, BSDM & other regional ALM teams.
Regulatory Compliance
- Ensure work are in compliance with the regulatory guidelines and timelines.
Job Specifications
- Minimum a bachelor degree in the relevant discipline (Accounting/Finance/Business/Economics/Financial Engineering)
- Strong academic background in related areas.
- Minimum 8 years of ALM related experience
Technical/Functional skills.
- Understand the balance sheet of the bank;
- Strong understanding in ALM and ALM models;
- Has 3-5 years’ experience in preparation of ALM (liquidity) reports and stress testing;
- Proficiency in risk analytics tools and data visualization platforms; and
- Has experience in data extraction from systems (through SQL etc.) or using any ALM system (preferred but not mandatory)
Personal skills (Soft Competencies [Core/Leadership])
- Good analytical skills
- Good oral and written communication skills in English
- Ability to investigate issues, ensuring that relevant information is considered
- Ability to analyse, report, highlight and escalate liquidity risk related issues internally
- Ability to discuss, challenge and reason with stakeholders on ALM models and outputs.