Stress Testing Manager - Securitisation

Role:

Securitisation Stress Testing Manager

ST10

Business Function:

Enterprise Risk Management

Reports to:

Head of Stress Testing Execution

Business Division:

Enterprise Wide

Purpose of the role:

Reporting to the Head of Stress Testing Execution, the Securitisation Stress Testing Manager is responsible for:

- Supporting the execution of budgetary and strategic planning cycle stress testing and regulatory stress tests (PRA, EBA etc.)

- Delivering Stress Testing Execution across all functions and disciplines as required, including; Retail, CCR, PBIL, Wholesale with primary focus on securitisation.

- Independent monitoring and control function for stress testing output across Banks Group.

- Operating within the Group Policy Standard for the Stress Testing Policy Standard as part of identify and managing our Firm Wide Risk.

- Interacting with the Business to improve their understanding of their roles and responsibilities in terms of Stress Testing

- Fulfill key link role with Market Risk, building and maintaining a collaborative relationships with Stress Testing activities within Market Risk.

- Oversight of the trading book, AFS, fair value through P&L, Reserves, Sovereign and Securitisation areas of stress testing execution.

- Review and challenge as a Subject Matter Expert for macro prudential, ICAAP and other enterprise wide stress tests.

- Coordinate the delivery of the AFS (incl. Sovereigns), Trading Book & Securitisation stress testing results

- Work in close collaboration with the Stress Testing Execution team (e.g. Markets) to implement stress test model requirements and standards to meet prescribed methodologies from regulators or internal requirements.

- Support the Head of Stress Testing Execution to embed the Stress Testing Centre of Excellences (COE)

- Provide support in setting the agenda for the Group's firm-wide stress testing and portfolio analytics activities.

- Driving Regulatory framework changes relating to Securitisation Stress Testing; working closely with Business and Senior Management to ensure fit for purposes methodologies for key portfolios of interest.

- Work in close collaboration with regulators to determine wholesale stress test requirements to meet prescribed methodologies and model requirements; act as point of contact with regulatory supervisory teams for Stress Testing Execution.

Deliverables:

- Delivering the execution of budgetary and strategic planning cycle stress testing and regulatory stress tests (PRA, EBA etc.)

- Undertake comprehensive analysis on securitisation throughout the firm-wide stress testing cycle, and hold early discussions with relevant SMEs, on specific features of each stress scenario and its outcomes.

- Connect the inputs, scenario and results, and support with the preparation and delivery of a firm-wide stress test to the Head of Stress Test Execution.

- Supporting firm-wide stress testing and ensuring it accurately presents results for the required scenario, including conducting and assessing stress losses and Risk Weighted Assets & management actions

- Determine model requirements to deliver prescribed stress tests; In collaboration with securitisation stress test model development team requirements.

- Participate in dialogue across three lines of defence on stress methodologies, results and evidence deliverables in relation to securitisation.

- Support the delivery of challenge and results communications packs to banks Board and various senior Risk and Business stakeholders.

- Work with businesses and SMEs to drive consistency of methodology and assumptions in relation to securitisation.

- As required, support other regulatory reporting requests from the FSA, EBA, Fed, US-SEC etc, and ensure consistency of inputs and results to stress testing and existing regulatory reporting deliveries.

- Review and challenge methodologies, parameter calibrations, market risk factor mappings and results.

- Document results, methodology explanations and key drivers for senior management, the Board and regulators.

- Cultivate a close level of interaction with senior risk managers to drive delivery and ensure buy-in.

- Own and maintaining all relevant documentation.

- Ensure data sets are maintained using advance statistical/modelling tools and ensure accuracy of data reconciliation to annual accounts and regulatory returns.

Experience/ Qualifications:

Essential

- 4+ years professional experience in risk management or in a Banking environment

- Experience in financial modelling and analytics.

- Possess significant knowledge of stress testing methodologies for AFS, Trading Book, and Securitisation.

- Possess knowledge of cross-risk disciplines (Market Risk, AFS, Securitisation, Operational Risk, etc).

- Deep understanding of external regulations and their impact on Regulatory Capital methodologies and business portfolios.

- Practical experience in macro prudential stress testing exercises such as EBA and CCAR in the areas of trading book, AFS, fair value through P&L, Reserves, Sovereigns and Securitisation.

- Strong verbal and written communication skills, with the ability to explain complex issues to a wider audience.

- Proven capability coordinating large, complex and disperse complex projects.

- Strong interpersonal skills with the ability to influence liaise and interact with several levels of management.

- Strong organisational skills, able to focus on different pieces of work concurrently and to deliver to tight timescales.

Desirable

- Good understanding of the Basel II/III framework

- Membership of a relevant professional institute, e.g. Chartered Financial Analyst, Institute of Risk Management

- Financial Risk Manager (FRM) certification

- Membership of the Chartered Institute of Bankers

- Postgraduate business or management qualification e.g. MBA

Other Significant Role Requirements:

- A good understanding of stress testing, credit risk, market risk, and its processes.

- Understanding of banks stress testing infrastructure

- 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

Scope of Role:

The Securitisation and Market Risk Stress Testing Manager will interface with the following stakeholders or parties (Internal or External)

- Head of Enterprise Wide Risk Management and other EWRM Heads Of

- Head of Stress Testing & Risk Capital

- Securitisation Model Development Manager

- Heads of Risk

- Risk Functional Heads

- Functional Leads (SMEs) in GIA, Finance & Treasury

Technical Knowledge:

- Significant experience in determining and undertaking stress testing concepts

- Experience of risk management within complex business functions

- Experience in the adaption and embedding of capital analytics and communicating capital outcomes to stakeholders

- People Management:

- N/A

Financial Management:

- N/A

Risk Management:

2nd Line of Defence

- Actively consider the inherent, material risks of the business/ organisation. They should analyse the risk profile and seek confirmation that the risks are being appropriately identified. Assessed and mitigated to the desirable level (Risk Appetite).

- Establish and deploy robust risk and control frameworks which meet the strategic needs of the group, including communication, training and awareness.

- Provide Expert support and advice to the business on risk management. This includes interpreting and complying with the risk policy standards and risk management framework.

- Conduct suitable assurance to ensure 1st line compliance with policies/ responsibilities.

- Provide senior executive with relevant management information and reports, escalate concerns where appropriate.

Conduct Risk

To be accountable for ensuring you understand, uphold and promote the Conduct risk standard pillars:

- Employee Conduct

- Corporate Conduct

- Market Conduct

- Conduct towards our customers

- Operating Disciplines and Controls: Establish and maintain operations, controls, risk assessments and assurance programmes, monitoring of risk and controls to identify, assess and manage any material risks which may arise.

- Risk Culture: Set the tone from the top by promoting appropriate business and risk aware behaviours and requiring compliance with all statutory and regulatory requirements and banks Group policies

- Business Continuity: Ensure adequate Business Continuity plans are maintained and tested for Risk Substantiation and wider Enterprise Risk Management team.