Assistant Vice President Market Risk (IRRBB) - Mandarin Speaking

at  Bank Of China

Risk Management department is responsible for developing, maintaining and promoting the Bank’s Enterprise Risk Management Framework (ERMF) and activities, and for providing independent second line of defence (2LoD) oversight for Traded Market Risk, IRRBB & FX Risk, Operational Risk and Model Risk management activities as well as the project management activities (i.e. project risk) in the Bank. As an Assistant Vice President Market Risk (IRRBB), you will be specialising in IRRBB (non–traded Market Risk) and be responsible for overseeing the overall traded and non-traded market risk profile. You will assess the effectiveness of market risk management activities across the UK entities, in collaboration with other members of the Market Risk Team. This is a full time permanent position.

Key responsibilities

• Analysis of the Bank’s IRRBB and non-trading FX risk
• Work closely with ALCO/Risk Management Committee members
• Maintain and develop non-traded market risk policies and procedures to comply with the Bank’s risk appetite. Seek continuous improvement in the market risk methodologies and practices in accordance with the market practices and the latest internal and external expectations
• Coordinate the annual refresh of the market risk appetite and risk limits for UK entities, working with the first line of defence (1LoD) and/or Head Office counterparts and provide effective advice to 1LoD in the process as appropriate
• Manage both the traded and non-traded market risk exposure of a portfolio consisting of corporate loans/bonds/MM/CDs, as well as derivatives positions (FX forwards/swaps/options and IRS). Monitor various risk limit statuses and escalate breaches. Risk metrics include NII/EVE/VaR/SVaR/ES/FX Exposure/DV01/CS01/Greeks
• Maintain the stress testing framework. Conduct various stress testing and calculate IRRBB exposures
• Produce regular internal risk reports. Annually generate regulatory risk reports such as ICAAP and Pillar 3
• Undertake independent second line of defence (2LoD) review on the new product proposal and design from the market risk perspective in ensuring market risk exposure arising from the new product; provide market risk 2LoD input in other initiatives such as projects, audit, risk reviews and strategy review as required
• Design, maintain and deliver market risk training programme and communication to raise awareness and support the embedding of solid risk framework, governance and culture
• Back up the traded market risk’s Senior Analysts and other members of the Risk Management department as necessary
• Partner with the 1LoD such as Financial Management department, Treasury- ALM, Money Market Desk and Trading Desks to promote effective communication and working relationship between the 1LoD and 2LoD; contribute to the discussion on market trends, business strategy, positions, P&L and risk drivers
• Maintain effective engagement with counterparts at the group level to ensure effective alignment
• Maintain good awareness of the latest developments in the business, regulatory landscape and markets. Keep Management abreast of material changes or key emerging trends that could have an impact on market risk profile and market risk management practices in the UK entities

REQUIREMENTS

• Degree educated in Finance, Economics, Mathematics, Actuarial Science, Financial Engineering or related quantitative discipline. CFA/FRM is highly desirable
• Experience in market risk management with non-traded market risk focus - IRRBB, either as 2LoD or as 1LOD gained in Corporate and Investment Bank, Securities Firms, Consultancy or Audit
• Good understanding of both traded and non-traded market risk management framework, methodologies and regulation such as Basel and PRA
• Good technical knowledge in asset & liability management and financial products especially Fixed Income and foreign currencies
• Team player
• Proactive, adaptable and flexible with desire to learn and develop
• Excellent numerical, analytical skills and ability to think logically and laterally in solving problems. Able to rapidly grasp, apply and explain detailed technical concepts
• Excellent communication skills with solid writing proficiency especially for key governance and normative documentation and the ability to deliver compelling, well-structured presentations
• Fluency in Mandarin
• Proficient in Microsoft Office (Word, Excel, PowerPoint)
• Programming skills such as Python, VBA and SQL are highly desirable
  Having a presence in the UK for more than 90 years, Bank of China London Branch has been providing an excellent financial service to the market and maintain its competitive edge as an international bank operated in the UK. It has employees in over 33 countries, and it is one of the most internationalised overseas branch in the Bank of China Group. The Bank values the diversity of its employees and aims to create an inclusive environment where everyone can speak up and enjoy the equal opportunities to grow both personally and professionally

• Analysis of the Bank’s IRRBB and non-trading FX risk
• Work closely with ALCO/Risk Management Committee members
• Maintain and develop non-traded market risk policies and procedures to comply with the Bank’s risk appetite. Seek continuous improvement in the market risk methodologies and practices in accordance with the market practices and the latest internal and external expectations
• Coordinate the annual refresh of the market risk appetite and risk limits for UK entities, working with the first line of defence (1LoD) and/or Head Office counterparts and provide effective advice to 1LoD in the process as appropriate
• Manage both the traded and non-traded market risk exposure of a portfolio consisting of corporate loans/bonds/MM/CDs, as well as derivatives positions (FX forwards/swaps/options and IRS). Monitor various risk limit statuses and escalate breaches. Risk metrics include NII/EVE/VaR/SVaR/ES/FX Exposure/DV01/CS01/Greeks
• Maintain the stress testing framework. Conduct various stress testing and calculate IRRBB exposures
• Produce regular internal risk reports. Annually generate regulatory risk reports such as ICAAP and Pillar 3
• Undertake independent second line of defence (2LoD) review on the new product proposal and design from the market risk perspective in ensuring market risk exposure arising from the new product; provide market risk 2LoD input in other initiatives such as projects, audit, risk reviews and strategy review as required
• Design, maintain and deliver market risk training programme and communication to raise awareness and support the embedding of solid risk framework, governance and culture
• Back up the traded market risk’s Senior Analysts and other members of the Risk Management department as necessary
• Partner with the 1LoD such as Financial Management department, Treasury- ALM, Money Market Desk and Trading Desks to promote effective communication and working relationship between the 1LoD and 2LoD; contribute to the discussion on market trends, business strategy, positions, P&L and risk drivers
• Maintain effective engagement with counterparts at the group level to ensure effective alignment
• Maintain good awareness of the latest developments in the business, regulatory landscape and markets. Keep Management abreast of material changes or key emerging trends that could have an impact on market risk profile and market risk management practices in the UK entitie