• Prepare and analyze interest rate risk in the banking book (IRRBB) measurement for stress test/ICAAP, internal and external reporting
• Establish and review risk limits
• Review and monitor behavioral models to support IRRBB measurement
• Analyze and provide qualitative commentaries of risk exposure and behavioral models output
• Assessment of risk elements in new products
• Provide support to manage and ensure successful implementation of ALM projects
• Analyze and provide basic commentaries in meeting pack
• Support GALCO, GCRC, IBRMC, BRC, BOD with respect to IRRBB and analysis for information and strategizing

Strategy and Planning

• Provide support to Head, Group Interest Rate Risk Management & Reporting and Section Head, Group Interest Rate Risk Reporting to ensure timely completion and accuracy of ALM risk management reporting; and compliance of risk thresholds to ensure effective risk control
• Maintain appropriate relationship with internal stakeholders to ensure ALM risk management is embedded in business strategy or business plan for a risk oriented practice or culture

Risk Reporting

• Prepare and review ALM Policy/Guidelines/Operational Manuals/User Guides to reflect the risk management measurement, monitoring and control
• Prepare / enhance / maintain IRRBB risk reporting including simulations of NII/EAR/EVE for internal, regulatory, ICAAP and stress testing for efficient and accurate risk quantification and monitoring purpose
• Source historical data for analysis and benchmarking of setting risk limits for prudent risk management
• Identify, measure, monitor, and control interest rate risk under normal market conditions, under stress scenario, projection; earnings-at-risk and economic value of equity for effective risk management
• Guide Regional Branches/Subsidiaries on the implementation of Group ALM Framework/Policies/Guidelines/Methodologies & assist in preparing accurate reports for consistency in application
• Review Regional Branches/Subsidiaries reports to ensure accuracy and timeliness
• Analyse and write summary of qualitative commentaries for IRRBB reports for Regional Branches/Subsidiaries and simulated positions
• Follow up with Regional Branches/Subsidiaries on action plans of non-compliances to ensure breaches are regularized within timeframe
• Ensure compliance and completion of identified internal/external audit findings
• Maintain appropriate relationship with internal stakeholders to ensure balance sheet risk management is embedded in business strategy or business plan for a risk oriented practice or culture
• Conduct review (including update of data/model’s drivers) and monitor behavioural models in supporting IRRBB ICAAP and stress test, escalate to Risk Modelling if there is any significant deterioration that warrant model redevelopment
• Perform analysis and ensure output reasonableness for the behavioral models application in stress test/ ICAAP for IRRBB measurement and limit monitoring
• Provide subject matter knowledge relating to IRRBB and relevant support to ensure successful automation and implementation of ALM risk system
• Back-up Head in ensuring smooth running of the BAU and ad-hoc request in his or her absence

Product Assessment & ALM Projects Support

• Assist to manage timeliness of system implementation for efficiency in reports production and output accuracy
• Work with Group ALM Risk Governance/Method on the development / enhancement / maintenance of related risk models and parameters in KRM-ALM System to produce accurate risk reports

Any other duties that may be assigned by GCRO, Head of Group ALM, Head of Group Interest Rate Risk Management/Reporting & Product Assessment or Section Head, Group Interest Rate Risk Reporting from time to time.