Core Responsibilities:

Asset and liability strategy formulation

Lead the development of asset and liability management strategies, optimize asset and liability structures, and ensure compliance with regulatory requirements and group risk preferences.

Analyze the impact of interest rate liberalization and exchange rate fluctuations on net interest margin (NIM) and economic value (EVE), and formulate interest rate risk management strategies (such as gap management and application of hedging tools).

Establish asset and liability management models (such as cash flow prediction model, interest rate risk model)

Liquidity and capital management

Participate in capital planning, optimize capital structure (such as RAROC-oriented asset allocation), meet capital adequacy ratio management requirements, and coordinate the application of internal capital measurement models (such as IRB).

Pricing and profit analysis

Establish a deposit and loan pricing model, combining funding costs (FTP), risk premia and market competition factors, to provide pricing guidance to business departments and enhance net interest margin management capabilities.

Regularly analyze the bank's profit drivers (such as interest income, non-interest income, cost structure), prepare an asset-liability management report (ALCO Report), and support management decision-making.

Regulatory compliance and cross-departmental collaboration

Ensure that ALM policies comply with the Basel II regulatory framework.

Collaborate with Compliance/Risk/Finance Department, Financial Markets Department, etc., to promote the application of liability and asset management tools (such as duration analysis and sensitivity analysis) in business scenarios.

Requirements:

Educational background

Financial Engineering, Mathematics, Statistics, Economics, etc. related professional master's degree or above, CFA/FRM/CAIA etc. qualifications are preferred.

Work experience

8 years of bank asset and liability management experience, familiar with the overseas regulatory environment, those with foreign bank management experience are preferred.

Have large commercial bank ALM department core position experience (such as liquidity management, interest rate risk management, capital planning, etc.).

Core competencies

Professional skills:

Proficient in the core indicators and model methodologies of asset and liability management (such as NIM, EVE, LCR, NSFR), and familiar with the establishment of foreign banks' funding transfer pricing (FTP) system.

Master the application of interest rate derivatives (such as IRS, Swaption), liquidity tools (such as CD, interbank deposit certificate), and have actual hedging operation experience.

Technical skills:

Proficient in using ALM-related systems (such as SAS, Python, Excel VBA), with data modeling and analysis capabilities; familiar with SQL databases and visualization tools (Tableau/Power BI).

Soft skills

Logical clarity, strong data analysis and problem-solving skills, able to push complex projects to completion under pressure.