Stress Testing Framework Role - BFS

Job Description :

- Work closely with the Risk Methodologies Group (RMG) and Stress Testing Group (STG) on the projects related to Stress Testing Framework.

- Development and periodic update of proto-type models with special attention to the model related to Market risk and Counterparty Credit Risk.

- Implementation of stress testing models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).

- To act as a subject matter expert for the stress testing models and providing support to the model users (i.e. stress testing group/Finance) and be a key point of contact with respect to such models.

- Work on the stress testing guidelines, perform firm wide analysis to assess the impact of stress testing models and support in quantitative impact study (QIS).

- Create strategic tools for stress testing models using python and migrating to GITLAB.

- Participate in periodic review of models and calibration of model parameters.

- Provide necessary support to Model validation group/Audit team during validation of stress testing models including any model change on an ongoing basis.