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    Market Risk Management

    Full-Time
    Bangkok, Thailand
    Posted: July 8, 2024
    Position Details

    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



    Skills
    Risk Management
    Microsoft Excel
    Financial Engineering
    Finance

    Functions
    Other
    Other

    Job Overview

    Job Type:

    Full-Time


    Company

    Kiatnakin Bank logo

    Kiatnakin Bank

    104 active jobs

    Industry:

    Banking & Finance

    Ready to Apply?

    Submit your application now and take the next step in your career journey.

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