Treasury Risk Analyst / Modeler (Associate, AVP or Jnr VP)

  • Excellent
  • Hong Kong Hong Kong Hong Kong HK
  • CDI, Plein-temps
  • Sloane Shorey Consulting , Numéro de Licence EA : 17S8548
  • 06 juin 18 2018-06-06

Global financial services organisation is expanding its risk management function’s capabilities to support business units with relevant and meaningful treasury risk solutions. The analysts in this team create and build advanced solutions facilitating effective risk management and product governance and using models and tools to address the analytics and reporting needs of the business. This role requires creative thinkers with excellent modelling skills (VBA, SAS etc) and the confidence to build relationships with key stakeholders.

The key component of the role is to design new models which calculate and forecast key metrics for treasury, balance sheet management, regulation and risk, including behavioural models. Given the vast amount of data available in the bank, analysts must explore and understand what data is available, working with technology teams to harness data sources, utilising data to create more accurate methods of forecasting liquidity and price risk metrics (IRRBB, LCR, NSFR, etc). The aim is to provide the business with detailed and accurate metrics as well as freeing up capital.




  • Define methodology to calculate/forecast balance sheet positions and key treasury, risk and balance sheet management metrics.
  • Develop prototype models in excel, considering business process flows, analytics, performance, etc.
  • Design relevant data extracts as inputs to models, considering the balance between accuracy and model performance.
  • Document all underlying methodologies, design, assumptions and operating models.
  • Provide ongoing support to users.
  • Support migration of models to strategic platforms.
  • Communicate with business to understand user needs and promote products developed.
  • Communicate with policy owners and producers of regulatory and internal risk metrics.


Key Requirements


  • Quantitative degree in banking, finance, engineering, maths, statistics, etc.
  • 3-9 years of experience
  • Knowledge of Treasury, Interest Rate Risk Management, Liquidity Management, Liquidity Risk: Interest Rate Risk - earnings (NII) and value (EVE, PV01); LCR and NSFR; Funds Transfer Pricing (FTP); Liquidity ratios such as ADR, deposit concentration, etc.; Liquidity stress testing; Behavioural models; ALM and Commercial Book products; Exposure to trading book products advantageous.
  • Understanding of bank systems architecture
  • Experience working with Technology to develop and support data feeds
  • Ability to document business requirements and functional designs
  • Experience in design and development of automated reports / processes
  • Building models using Excel VBA
  • Query Bank systems using SQL
  • Prior experience with Balance Sheet Management platforms (Moody's Analytics, QRM, Oracle, etc.) or booking platforms (Murex, Kondor, etc.) advantageous.


For full details, please apply today.


Sloane Shorey Consulting Limited, Hong Kong is a licensed Employment Agency. Licence number: 54879 | Sloane Shorey Consulting Pte Ltd, Singapore is a Ministry of Manpower approved EA. Licence number: 17S8548