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
104 active jobs
Industry:
Banking & Finance
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