AVP, Financial Quantitative Risk Analyst (Investment Risk)

We are looking for a highly skilled, focused, and motivated Investment Risk Manager to join our Governance, Risk, and Compliance (GRC) team at Khazanah Nasional Berhad. As the Financial Quantitative Risk Analyst (Investment Risk) Assistant Vice President (AVP), you will play a pivotal role in managing and mitigating investment risks across the Public Market portfolio, the Dana Impak mandate, and the Treasury portfolio. Leveraging advanced and cutting-edge risk management tools, you will ensure that these portfolios remain aligned with their strategic objectives. Your responsibilities will include quantifying, analyzing, and managing risks within a diversified investment portfolio. As a key figure in the second line of defense, you will proactively engage with both internal and external stakeholders, implement a comprehensive investment risk framework, and continuously explore innovative tools to strengthen risk management practices. Additionally, you will be instrumental in fostering and cultivating a strong risk culture across all stakeholder groups, ensuring that risk awareness and management are embedded into the organization’s operations.

Key Responsibilities:

1. Risk Management:

• Lead the management of investment risk for Public Market portfolios, the Dana Impak mandate, and the Treasury portfolio, serving as the second line of defense.
• Review and assess risks for new investment proposals, conducting thorough analyses to support informed decision-making.
• Perform annual reviews of risk controls for Public Market, Dana Impak, and Treasury portfolios, identifying areas for enhancement and implementing necessary improvements.
• Lead and execute annual stress testing exercises for Public Market portfolios, ensuring the portfolios’ resilience under various market conditions.

2. Risk Analysis & Modeling:

• Develop, implement, and maintain quantitative risk models across multiple asset classes, including public equities, private equity, and quantitative mandates.
• Perform in-depth risk assessments, including stress testing, scenario analysis, and Value at Risk (VaR) calculations to evaluate and quantify potential exposures.
• Contribute to the development of proprietary risk models to monitor and manage portfolio risks effectively.

3. Quantitative Research & Risk Strategy:

• Analyze and model risk factors that impact the performance of traditional and alternative investments.
• Conduct research into quantitative strategies to identify risk factors, correlations, and establish exposure limits for current and prospective investments.
• Evaluate and backtest risk management models, ensuring their robustness and adaptability across diverse market environments.

4. Stakeholder Engagement:

• Maintain proactive engagement with the Public Market and Dana Impak deal teams through regular discussions, addressing risk-related concerns and providing strategic insights.
• Participate in deal team meetings, contributing expertise where the investment risk team's presence is required.
• Conduct virtual engagements or site visits to external EFMs (External Fund Managers) on investment risk matters, fostering and maintaining strong working relationships.

5. Policy Development and Analysis:

• Assist in the development and maintenance of risk management policies and guidelines, ensuring alignment with industry standards and regulatory requirements.
• Review and evaluate risk model back-testing exercises for Public Market portfolios, ensuring the accuracy and efficacy of risk models.

6. Reporting and Analysis:

• Prepare comprehensive monthly investment risk analysis reports for Public Market portfolios, presenting findings to senior management and providing actionable recommendations.
• Oversee the resolution of outstanding audit findings related to Public Market risk management operations, demonstrating a commitment to continuous improvement.

Qualifications and Experience:

• Bachelor's degree in Actuarial Science, Finance, Accounting, Economics, Statistics, Engineering, Computer Science or a related field is required. While a Master's degree or professional certifications such as FRM (Financial Risk Manager) or CFA (Chartered Financial Analyst) would be advantageous, they are not mandatory.
• Minimum of 5 years of experience in the financial or asset management industry, with at least 3 years focused on investment risk management.
• Deep understanding of financial markets, investment products, and risk management methodologies.
• Proven experience with stress testing methodologies and risk model validation.
• Strong analytical and problem-solving skills, with meticulous attention to detail.
• Exceptional written and verbal communication skills, with the ability to clearly and concisely convey complex concepts.
• Demonstrated ability to collaborate effectively in a team-oriented environment and manage multiple priorities simultaneously.

We encourage and value applications from all backgrounds, identities, and experiences whereby all qualified candidates will be assessed in a fair and equitable manner. Our employment decisions are based on merit, business needs, and job requirements.