Head, ALM - Model Validation & Regulatory Stress Testing MY

• Lead the independent validation of ALM models used to measure liquidity risk and IRRBB / RORBB;
• Assess model design, data integrity, assumptions, and implementation accuracy;
• Conduct quantitative testing: benchmarking, backtesting, sensitivity analysis;
• Deliver and document reports and dashboards to stakeholders, highlighting validation outcomes, emerging risks, and strategic implications;
• Maintain up-to-date knowledge of regulatory requirements and industry best practices; and
• Responsible to update and maintain the Model Validation Framework in accordance to the established governance.

• Maintain model inventory and validation records including approval dates, monitoring frequency, calibration history, and implementation timelines;
• Support automation and streamlining of validation processes and reporting infrastructure.

• Liaise actively with ALM Model Development, Liquidity Risk, IRRBB / RORBB, BSDM & other regional ALM teams.

• Ensure work are in compliance with internal and regulatory guidelines.

• Responsible to lead the enhancement and execution of the group's regulatory liquidity risk stress testing and simulation framework;
• Review the idiosyncratic scenario, coordinate the approach and timeline with countries, simulate the liquidity risk positions, prepare reports and results;
• Extend the simulation into a rolling basis as required by BNM;
• Work closely with the capital and finance teams to closely link the capital, solvency and liquidity risk as part of the GWST; and
• Ensure outcomes are reasonable and align with the Regulatory Recovery Planning (RP) requirements.

• Review, analyse and report the GWST results to GALCO, GRCC and BRCC;
• Ensure the reporting and generation of results follows the internal procedures; and
• Support automation and streamlining of the GWST processes and reporting infrastructure.

• Liaise actively with ALM Model Development, Liquidity Risk, IRRBB / RORBB, BSDM & other regional ALM teams.

• Ensure work are in compliance with the regulatory guidelines and timelines.

• Minimum a bachelor degree in the relevant discipline (Accounting/Finance/Business/Economics/Financial Engineering)
• Strong academic background in related areas.
• Minimum 8 years of ALM related experience

• Understand the balance sheet of the bank;
• Strong understanding in ALM and ALM models;
• Has 3-5 years' experience in preparation of ALM (liquidity) reports and stress testing;
• Proficiency in risk analytics tools and data visualization platforms; and
• Has experience in data extraction from systems (through SQL etc.) or using any ALM system (preferred but not mandatory)

• Good analytical skills
• Good oral and written communication skills in English
• Ability to investigate issues, ensuring that relevant information is considered
• Ability to analyse, report, highlight and escalate liquidity risk related issues internally
• Ability to discuss, challenge and reason with stakeholders on ALM models and outputs.

CIMB