Senior Manager, Counterparty Credit Risk Stress Testing
- Lead the CCR (Counterparty Credit Risk) work stream for enterprise-wide stress tests and ensure the timely delivery of the stress test results by conducting the CCR stress test, defining methodology, establishing documentation and governance standards, presenting to the senior management for final approval.
- Support the Head, Traded Credit Risk in the Global Counterparty Credit Risk Forum (GCCRF) and
- Deliver stress tests CCR and CCP stress test to meets to meet regulatory requirements.
- Carry out the EST stress testing analytics work for CCR exposures.
The Role Responsibilities
Enterprise-wide Stress Testing (EST) Agenda
- Ensure the CCR stress test delivery of EWST exercises (Group ICAAP and BoE stress test) within agreed timelines. This includes owning the end-to-end process from performing the stress test to presenting the final deck for stakeholder's sign-off.
- Present the CCP (Central Counterparty) and CCR stress results at the working group and committee level for reporting of losses/impairments, CCR RWA, CVA RWA and excess EL.
- Report, monitor and perform regular and ad-hoc investigation on stress test results and wrong way risk for the Derivatives portfolio.
- Review, update and maintain EWST and traded risk models/methodologies related to CCR stress testing. E.g. CCP stress test model, stress CVA RWA model and etc. to ensure they are compliant with regulatory and internal audit and governance requirements.
Our Ideal Candidate
- Relevant work experience.
- Degree in Math, Statistics, Finance and Economics, preferably at Master degree Deep knowledge and understanding of derivatives, financial markets (FM) and systems.
- Subject matter expertise and experience in the calculation of traded products exposure under normal and stressed market conditions.
- Subject matter expertise in the calculation of CCR RWA and CVA RWA.
- Experience in the development of strategic infrastructure and the translation of business vision into strategic requirements.
- Subject matter expertise and experience in the building of large data solutions and the implementation of functionality on those solutions in order to support the business strategy. Experience in understanding (and communicating to the business) the implications of IT decisions and delivery on the ability of the business to support business processes.
Business Strategy and Model
- Good understanding of the firm's business strategy and its links with stress testing.
- Understanding of risk management framework and how it translates to business strategy solution and implementation.
- Demonstrate vigilance and aptitude in employing process controls to mitigate risks to the firm.
- Ability to comprehend the stress testing requirements as per regulatory rules.
- Proficient in advanced programming including VBA, statistical modelling, analysis tools and database structuring.
- Excel with understanding of macros and VBA;
- Knowledge of statistical programming in SAS would be an advantage
- Proficiency in Microsoft applications
Apply now to join the Bank for those with big career ambitions.