Senior Associate recruitment

Financial Market Risk Management (FMRM) is part of the Enterprise Risk Management (ERM) organization. It is the group that leads the analysis/communication of income implications of equity market, interest rate and foreign exchange risks. This includes recommending hedge strategies and providing input regarding enterprise risk appetite/tolerance.
For interest rate risk, FMRM is currently developing analytical and technological capability to maintain a quarterly view of interest rate earnings sensitivity with defined policy and governance processes. This risk measure based on earnings risk would supplement other risk metrics, such as ones based on economic capital, duration, replicating portfolio, and statutory reserve adequacy.
The incumbent for this position is expected to play a pivotal role in FMRM's plan to expand the interest rate earnings risk analytics to the Company's International Business mainly in Japan, Korea, and Taiwan. In addition, the incumbent will also develop expertise on other risk management issues related to International Business including, but not limited to, foreign exchange earnings risk. The incumbent will work both independently and in a team environment with other members of FMRM, business units, and Investment Operations and Systems group.

The incumbent will

• Assume a key role in expanding FMRM's interest rate earnings sensitivity analysis to the Company's International Business. This person will be expected to gain proficiency in all phases of the analysis, including data gathering, reaching consensus on modeling methodology and assumption used in the analysis, establishing a process for the periodic reporting, and communicating results to various stakeholders in business units and corporate groups.

• Be expected to make contributions to the FMRM's interest rate earnings sensitivity analysis for the Company's domestic business. This person will collaborate with other FMRM associates to ensure a periodic and timely delivery of the earnings risk reports to the stakeholders.

• Be expected to keep abreast of foreign exchange risk and other risk management issues related to International Business. In particular, this person will be involved in producing foreign currency (fx) earnings risk analysis, monitoring fx risk-of-loss reports, and participating in discussions related to the Company's currency hedging strategy

• Perform other risk analysis and reporting, and special projects as needed

Additional responsibilities of the position will vary, and will depend largely on the candidate's background, skills and experience.

Skills

• Undergraduate or graduate degree in business or a quantitative discipline. FSA/ASA/CERA and/or CFA/FRM/PRM preferred

• 5-7 years of related work experience (which may include any comparable post-graduate study) with emphasis on financial risk management, asset-liability management, and financial modeling at financial institutions or consulting firms

• Excellent oral written communication skills, especially ability to explain technical concepts to various levels of audience are required.

• Demonstrated ability to collaborate with various business partners and establish a professional network

• Previous experience with earnings risk analysis (particularly repricing gap analysis) for a banking book of a financial institution is highly desirable.

• Previous experience with insurance products (i.e. actuarial experiences) is highly desirable.

• Hands-on experience working with a large number of spreadsheets and a vast amount of data from multiple data sources; working knowledge of Access and VBA would be a plus.

• Previous experience with currency risk management for multinational corporations would be a plus.

• Ability to learn quickly and willingness to work flexible hours to meet deadlines