Provide advice and support to Head, Group Market Risk Management (Bank, Islamic, Investment Bank and Asset Management-products only)  in driving the following roles

• Development of Group Market Risk Policies to drive comprehensive market risk identification, measurement and aggregation methodologies consistently across the Group
• Establishment of Internal Risk Appetite and Risk Limits for market risk taking activities and exposures
• Independent model validation to ensure robust valuation from system and accuracy in risk reporting for internal management and regulatory requirement
• Implementation, development and maintenance of Value at Risk (VaR) model through design, measurement, validation and backtesting.
• Provide check and balance, integrity and compliance to fair value measurement requirements
• Provide pricing expertise, quantitative and programming knowledge within the Market Risk project and systems
• Development and design of stress testing approaches and methodologies
• Conduct of Risk assessment for origination exposures

Provide consultation and advice on changes in regulatory (i.e. accounting, home regulators, industry changes or practices) with respect to market risk related and new products

• Enhancement on Market Risk Overarching Concepts and Holistic view of Risk in Totality
• Provide independent assurance to senior management of the integrity and compliance to regulatory standards on valuation processes and models.
• Facilitate in the business development of SBU to correspond to the risk appetite of the bank including preparation of risk assessments
• Knowledge on Internal Model Approach (IMA), including risk model selection and fine-tuning exposures
• Guide/Train the team to knowledge base with regards to risk system and financial product pricing to be at par with market standards
• Assist in market risk’s initiatives on system implementations and project management
• Development of Market Risk Stress testing framework covering structure, type, approaches and design covering correlations and impacts.
• Explore and research into the usage of financial analytics and various tools available in the Treasury and Risk Management systems

o          measurement of aggregated and diversified market risk exposures

o          optimization of capital allocation for market risk