Market Risk Management

Role and Responsibilities / หน้าที่ความรับผิดชอบ

• Determine market risk limit that is suitable for business size and complexity and is within the bank’s risk appetite level and get approval from ROC (Risk Oversight Committee).
• Design/implement market risk calculation/control in the treasury system or develop a tool for an off-system product (i.e., a product which is not supported by the system)
• Calculate market risk capital as required by BOT and prepare BOT’s market risk dataset.
• Perform market risk stress test and other ad hoc/routine analysis/calculation (e.g., CVA, FTP, etc…) to meet a regulator/business/management’s requirements.
• Propose a calculation method for trade-level PSR (pre-settlement counterparty credit risk) of financial market products and get approval from ROC.
• Design/implement trade-level PSR calculation in the treasury system or develop a tool for an off-system product.
• Develop files for trade booking, trade valuation, and trade-level PSR calculation for an off-system product.
• Prepare market risk policy/guideline that is in line with regulations, business, and risk appetite, and propose for BOD (Board of Director) and ROC approval.

Qualifications / คุณสมบัติ

• Master's degree in Risk Management, Finance, Financial Engineering or related fields
• High level of competency in Microsoft Excel
• Good communication skills with an ability to communicate technical topics to non-technical intense people
• Highly motivated and self-driven with a strong analytical/quantitative skill
• Programming skill (preferably VBA), experience in market risk related function, knowledge of financial