Deputy Manager - Stress Testing - Big4

Responsibilities:

Stress Testing and Scenario Analysis:

- Collaborate with risk managers and other stakeholders to design and execute stress testing scenarios.

- Develop stress testing models that assess the impact of adverse market conditions on credit risk exposures and Risk-Weighted Assets (RWA).

- Analyze stress test results and provide insights to senior management regarding potential vulnerabilities and capital adequacy under stress.

IFRS 9 Model Development:

- Lead the development and implementation of the IFRS 9 model to estimate expected credit losses (ECL) over the life of financial instruments.

- Ensure the IFRS 9 model accurately reflects credit risk, considering factors such as credit quality, historical default rates, and economic conditions.

- Validate the IFRS 9 model and perform ongoing monitoring to ensure its accuracy and relevance.

Credit Risk Data Analysis:

- Analyze credit risk-related data to identify trends, patterns, and potential areas of concern.

- Work closely with data analysts and data scientists to gather, clean, and process relevant data for stress testing and model development purposes.

Regulatory Compliance:

- Stay abreast of relevant regulatory guidelines and industry best practices related to stress testing, RWA, and credit risk modeling.

- Ensure that stress testing models and IFRS 9 provisions adhere to regulatory requirements and are aligned with the institution's risk appetite.

Collaboration and Communication:

- Collaborate with various departments, including risk management, finance, and quantitative analysis teams, to ensure a cohesive and integrated approach to risk assessment.

- Present stress testing results and IFRS 9 model findings to stakeholders, including senior management and regulatory authorities.

Qualifications:

- Bachelor's degree in Finance, Economics, Mathematics, Statistics, or a related field. A Master's degree is preferred.

- Proven experience (X years) in credit risk modeling, stress testing, and developing IFRS 9 models within the financial services industry.

- Strong understanding of Risk-Weighted Assets (RWA) calculations and their application in stress testing scenarios.

- Proficiency in programming languages such as R or Python for model development and data analysis.

- Familiarity with relevant regulatory frameworks (e.g., Basel III) and accounting standards (IFRS 9).

- Excellent analytical and problem-solving skills, with the ability to interpret complex data and draw meaningful insights.

- Effective communication skills, both verbal and written, to convey technical concepts to non-technical stakeholders.

- Strong attention to detail and a track record of delivering high-quality work within tight deadlines.