AVP-Market and Liquidity Risk

Headquartered in Tokyo, Sumitomo Mitsui Banking Corporation (SMBC) is a leading global financial institution and a core member of Sumitomo Mitsui Financial Group (SMBC Group). Built upon our rich Japanese heritage since 1876, we put our customers first and provide seamless access to, from and within the Asia Pacific region.   SMBC is one of the largest Japanese banks by assets and maintain strong credit ratings across our global integrated network.  We work closely as one SMBC Group to offer personal, corporate and investment banking services to meet the needs of our customers.

With sustainability embedded within our strategy and operations, we are committed to creating a society in which today’s generation can enjoy economic prosperity and well-being, and pass it on to future generations.

• • Perform daily and periodic market and liquidity risk reporting for Local Management and Head Office.
  • Conduct independent valuation of derivatives including FX, IRS, OIS, CCS, FRA, vanilla and exotic options, and structured products.
  • Review and validate pricing models, yield curves, volatility surfaces, and key market data inputs used for valuation.
  • Monitor Treasury risk exposures including DV01, PV01, Greeks, basis risks, liquidity indicators, and escalate breaches as required.
  • Calculate, review, and analyse Value at Risk (VaR), stress tests, and scenario analyses for trading and banking book exposures.
  • Prepare and coordinate ALM Committee material including agenda, presentations, and minutes.
  • Maintain and periodically update market and liquidity risk policies, methodologies, and procedural documents.
  • Support implementation, enhancement, and UAT of valuation engines, risk systems, and Treasury platforms.
  • Ensure accurate portfolio valuation, proper documentation, and compliance with internal guidelines and regulatory requirements.
  • Provide analytical support across risk-related initiatives and undertake additional tasks assigned by Management / HOD / Supervisor.

Knowledge & Skills

• Minimum 7 years of prior experience is required in the field of core Market Risk Management functions in a Commercial Bank of repute.
• Strong expertise in derivative products (FX, IRS, OIS, CCS, FRA, options, exotic structures) including valuation methodologies, pricing models, curve construction, and risk sensitivities.
• Proficiency in VBA/macro development, data automation, and handling large datasets for reporting and analytics.
• Strong analytical and quantitative skills with the ability to interpret market data, risk measures, and portfolio behavior.
• Knowledge of VaR, stress testing, scenario analysis, and market risk measurement frameworks applicable to banking and trading books.
• Familiarity with Treasury systems, risk engines, valuation platforms, and market data sources.
• Excellent communication skills for interactions with Treasury, Finance, HO, auditors, and ALM committees.
• FRM / PRM / CISI Risk Management certification is mandatory.