Senior Statistical Analyst - Credit Risk & Portfolio Management Team

PURPOSE OF JOB

This is a specialized role within credit risk and portfolio management team for performing stress tests on the Bank's portfolio. With increasing regulatory supervision and volatility of the global economy, it imperative that the best practices are followed in credit risk management. The role would be vital in ensuring the same by performing ad hoc as well as periodic stress tests for both internal and external reporting. The role would require a thorough understanding of economics and finance, as well expertise in sophisticated statistical techniques.

The role will also support the HO credit risk modelling projects, which will involve development, monitoring and ensuring independent validation of credit risk models, including pricing models.

TASKS

External Stress Testing

1. Develop macroeconomic models to define stress scenarios

2. Update macroeconomic models periodically to align with the current economic conditions and the Bank's portfolio

3. Understand the stress testing regulatory requirements of the geographies the Bank operates in

4. Understand and implement the latest stress testing methodologies to ensure the Bank is prepared for economic downturns and associated events

5. Calculate the incremental capital charge required for Pillar 2 disclosures

6. Support the preparation of the Pillar 2 risk report

7. Perform any ad hoc stress tests as required by the Central Bank/ other external agencies

Internal Stress Testing

1. Identify vulnerable/ risky portfolios to determine the frequency and scale of stress tests to be conducted

2. Perform stress tests on different portfolios and assess the impact on, among other things, the Bank's capital adequacy, leverage and profitability

3. Report the results of the periodic/ ad-hoc stress testing exercises in a timely and comprehensible manner to the senior management

4. Formulate corrective management actions based on the outcome of the stress tests

Credit risk modelling

1. Support the development of credit risk models by performing data analysis and statistical methods (regression, decision trees etc.)

2. Refinement of analytical framework for risk-based pricing

3. Assist in periodic monitoring of model performance parameters

4. Assist the HO team in data analysis and developing analytical methods for risk limits, such as industry and country.

Additional responsibilities

1. Liaise with associated business units to obtain data and prepare reports

2. Periodically review and update the stress testing framework

3. Specify data and IT infrastructure requirements for conducting the credit risk stress tests

JOB KNOWLEDGE, SKILLS & EXPERIENCE

- Minimum 4-6 years of experience in credit risk and analytics

- Should be post-graduate in Statistics/ Economics/ Engineering/ Business Management from a premium Institute

- Must be proficient in Excel and SAS

- Must have sound understanding of time series analysis and econometric methods

- Strong written and verbal communication skills in English