1. Macroeconomic modeling and Forecasting.
- Lead the design and construction of a suite of structural macro-econometric models; and other autoregressive integrated moving average models.
- Carry out and authenticate macroeconomic simulation and forecasts based on the models developed and lead in disseminating results and providing advice to the higher level.
- Develop the stress test execution of macroeconomic situation
2. Market risk and liquidity risk related models:
- Develop internal models for economic capital charge calculation regarding to IRRBB and Market risk, Concentration risk in trading book, Economic capital aggregation
- Develop the risk models for CCR and market risk for internal risk management.
- Develop internal model approach for economic capital charge calculation regarding to liquidity risk, IRRBB.
3. Balance sheet models: Develop Balance sheet model (behavioral models) for Liquidity and IRRBB management
4. Model governance
- Maintain the macroeconomic models and balance sheet models
- Maintain the documentation consistent with the requirements of model validators