The role / responsibilities would include :
- Develop and enhance current stress testing framework and methodology and ensure they are compliant with regulators and appropriate for internal risk management
- Actively participate in the IMM gaps remediation work to improve current stress testing methodology in particular Scenario RWA
- Driving Regulatory framework changes relating to Stress Testing; working closely with Business and Senior Management to ensure fit for purposes methodologies for key portfolios of interest.
- Design methodology to calculate scenario exposure for both the trading and banking books in the context of LPA, ICAAP, and IWST.
- Manage key stakeholders (e.g. Senior Management, Credit Risk Managers, and Enterprise Risk Management) by answering their requests, assuring an efficient cooperation within different departments, maintaining a strong communication and by explaining at a suitable level movements and drivers of the various models and approaches used within Counterparty Credit Risk.
- Support the strategic scenario infrastructure initiative; define and document business requirement for counterparty credit risk stress testing for strategic implementation
Interested candidates must be able to demonstrate the following qualifications and competencies:
- Strong technical skills, thorough knowledge of credit risk and derivative products with relevant banking/financial products experience
- Bachelors- or Master's degree in quantitative or relevant discipline preferred
- A good understanding of external regulations and their impact on stress test methodologies and business portfolios
- Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++, etc.) is an advantage
- Good analytical problem solving skills in a banking, financial markets or consulting environment.
- Strong verbal and written communication skills, with an ability to explain analytical issues and synthesize complex analyses in a form that is appropriate for management interactions.
Didn’t find the job appropriate? Report this Job