Sr. Liquidity Framework and Stress Testing Analyst

Job Description

This role is part of the Treasury - Liquidity (TL) function which is a central team within Treasury responsible for ensuring that the Group maintains stable, cost efficient and diversified sources of funding which is sufficient to meet its business aspirationsand withstand an extreme but plausible stress. Liquidity Framework and Stress Testing team within TL is responsible for designing and implementing: the liquidity and funding management framework, and stress testing models and methodologies for the Group. This includes owning and maintaining the underlyingpolicies, standards, regulatory interpretation, models, and methodologies including the governance aspects. In addition, the team owns the end-to-end process (including platform, models, governance) for liquidity scenario analysis used in the Group RecoveryPlan (GRP) and Funding in Resolution (FiR). The main objective of the team is to ensure compliance with the PRAs Overall Liquidity Adequacy Requirement (OLAR) which requires Group to hold adequate liquidity buffer to sustain a range of severe stress scenarios. The team is also responsible for preparingan overall liquidity risk assessment that goes into the Internal Liquidity Adequacy Assessment Process (ILAAP) which is submitted to the PRA on an annual basis. This role will have a vital contribution in the Group ILAAP and will also lead the regional ILAAPfor major hubs like Solo. The team is also responsible for contributing to the Enterprise-Wide Stress Testing (EWST) as a work stream owner for Liquidity Risk. The team works closely with the central Stress Testing team to deliver a variety of EWSTs throughout the year including butnot limited to ICAAP, BOE Stress, Group Recovery Plan and Reverse Stress Test. The team works closely with senior stakeholders across the Group including Treasury, Businesses, Risk and Finance functions as well as externally with Regulators. Main Challenges:

• The role provides vital input into the global liquidity and funding management strategy. This primarily comes in the form of ILAAP and recommendation for the Board Risk Appetite. In addition, the role involves designing and setting various liquidity andfunding metrics which in turn drive the balance sheet strategy.

• The role involves active discussion with the businesses (both CCIB and CPBB) to understand their needs and use of the balance sheet, to design and implement appropriate liquidity and funding metrics

• The candidate is responsible for contributing to the relevant processes owned by the team which is primarily linked to Risk Management responsibilities described below.

RESPONSIBILITIES :

• Lead the regional ILAAP delivery for Solo and other major hubs including planning, execution, and governance aspects.
• Contribute to the Group ILAAP and ensure regional ILAAP is appropriately reflected in the Group assessment.
• Lead and drive other liquidity projects assigned time to time. The breadth and depth of the projects offers a wide range including BAU policy / standard maintenance to a bespoke model / methodology development.
• Collaborate with broader Treasury colleagues (particularly regional/country teams), Business stakeholders, Technology and Finance to socialise and implement the model/methodology changes.
• Act as Subject Matter Expert (SME) and trusted advisor for liquidity risk topics by assisting the line manager in relation to:
  • Design and implement models and methodologies to manage the liquidity and funding risk across the Group.
  • Design different scenarios (for recovery, resolution, or ad-hoc stress) and assess the liquidity impact by leveraging the internal simulation platform (T-Strats).
  • Implement and maintain liquidity metrics in the technology platform (RCO & T-Strats).
  • Interpret liquidity regulations (such as LCR, CFMR, NSFR).
  • Assess liquidity impact from emerging areas like Climate Risk, Crypto Assets; and
  • Review and approve new products (or changes to the existing products) via PPG process.
• Manage compliance with SCBs internal governance standards such as model risk, EUC governance, operational risk control, prudential compliance framework and manage associated documentations.
• Actively contribute to the broader technology agenda to improve the liquidity platforms and data quality.
• Manage and liaise with internal and external auditors as well as with the Treasury CRO function as and when required.
• Assist the line manager in supporting the broader TL initiatives.
• Effectively and collaboratively identify, escalate, mitigate, and resolve risk, conduct and compliance matters.

Our Ideal Candidate

• Solid experience in Treasury, Asset Liability Management or Liquidity Risk function.
• Deep knowledge of liquidity risk management practices and liquidity regulations such as LCR, NSFR (particularly PRA and HKMA regulations).
• Strong experience in building and maintaining the cash flow or behavioural models for different products (such as operational deposits, derivatives collateral outflow or interest rate risk) including model risk governance aspects.
• Good knowledge of banking book and trading book (especially financial markets) products.
• Deep interest in technology and be digitally literate, coding experience (e.g. in VBA / R / Python) is a strong plus;
• Ability to understand, define and articulate business requirements in a clear, precise manner (with project management experience is advantageous);
• Ability to scope and conduct data intensive numerical studies and present the results in a concise and clear manner to audiences;
• Experience in managing senior stakeholders including Committees with effective presentations and influencing skills;
• Able to work independently yet a great team player; and
• Fast learner with a strong interpersonal, problem solving and analytical skills.

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