Market Risk Strategist

vor 1 Woche


Zürich, Zürich, Schweiz ICBC Zurich Branch Vollzeit
Job Description:

The ICBC Zurich Branch is seeking a highly skilled Market Risk Manager to join its team. As a key member of the risk management department, you will be responsible for maintaining and implementing the branch's market risk management framework in accordance with Swiss regulatory requirements and internal policies.

Your Responsibilities:

  • Maintain the branch's market risk management framework and system, collaborating closely with internal business partners such as treasury to ensure effective risk management.
  • Measure, monitor, and report interest rate risk in the banking book (IRRBB), including Economic Value of Equity (EVE), Net Interest Income (NII), and repricing gap analysis.
  • Conduct scenario analysis, stress testing, and sensitivity analysis to evaluate IRRBB under various market conditions.
  • Continuously monitor and refine IRRBB models to ensure accuracy and relevance in changing market conditions.
  • Participate in committees (risk management, asset and liability) to present and discuss key metrics, exposures, and mitigation strategies.
  • Collaborate with Treasury to align strategies for managing interest rate risk exposure (Asset Liability Management).
  • Evaluate Treasury's adherence to permissible activities as prescribed in the policy framework.
  • Review, manage, and maintain policies, procedures, and methodologies related to market risk management.
  • Support the team with tasks pertaining to credit and operational risk management, internal and external reporting, as well as internal and regulatory audits.
About You:

To be successful in this role, you should have a Bachelor's degree or above in Business, Finance, Economics, or a related field, with a preference for relevant post-graduate qualifications (e.g., CFA, FRM). A minimum of 4 years of experience in market risk management in a commercial bank is required.

You should possess a sound understanding of market risk principles and IRRBB metrics, including EVE, NII, and gap analysis, as well as knowledge of Basel III regulatory requirements for IRRBB. Fluency in English is essential, with knowledge of German being an advantage.

A proficient user of MS Office, particularly Excel, is required, along with good organizational skills and the ability to prioritize work under pressure. Excellent interpersonal skills and a strong team spirit are also essential.

The estimated salary for this position is CHF 120,000 - 150,000 per annum, depending on your level of experience and qualifications.



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