Stress Testing
2 months ago
**Key Responsibilities**:
The role holder is responsible for the following in undertaking the role:
- Deliver on the Finance & Credit Risk requirements for the Enterprise-wide Stress Testing (EST) exercises
- Carry out the EST stress testing analytics work
- Ensure compliance with EST procedures, methodologies, and controls.
- Manage all governance-related aspects of the execution of Finance & credit risk stress testing
- Drive process improvements and best practices for more efficiency and productivity
- Lead and manage the support staff necessary for the production of Finance & credit risk stress calculation with a focus on the banking book & capital/liquidity calculation
- Support the development and maintenance of underlying models to enhance Finance & credit risk stress testing methodology.
- Deliver on the operational risk framework for the Finance & credit risk stress test process.
**Theme**
**Activities**
Stress Testing preparation
Preparation work before stress projection
- prepare the kick-off pack and coordinate the setup for the kick-off meeting
T0 reconciliation
Perform T0 reconciliation against financials; and resolve discrepancies with the Data team
- Review the T0 data mapping at different granularity (e.g. product, currency, country, etc.) for reasonableness
- Work with the Group data team to manage the size of the edge cases
- Adjust for gaps not included in the numbers provided by the data team
Stress Testing model execution
Execute the models from end-to-end, from T0 and input preparation to output checking for reasonableness at a high level
- Prepare the T0 which is not provided by the data team. The data will be sourced from Reg return / financial statements
- Prepare the scalars for input tables and fine-tune the results in subsequent model runs
- Execute the full model run, and prepare the mapping for the financial summary by linking it to model output for review
- Check with teams who conduct external projections (e.g. traded risk), collect & use the EM tables
R&C deck preparation
Provide support to prepare for the R&C deck
Documentation
Coordinate the completion of the ICAAP document
- Group ICAAP Pro forma and Country template - compare with last year's templates and highlight the changes
- Populate the draft Country template using the SBAP data + data from the financial summary for review
- Coordinate the completion of the document, and provide regular status updates
Data/template population
Populate the template by linking to model output & financial summary for Review
Gap analysis
Coordinate the completion of the SPM gap analysis
- Compare any changes to the regulatory instruction from the HKMA, document the changes, if any
- Coordinate the gap analysis exercise with all workstreams - collect the gap analysis of each section from corresponding workstreams
**Key Stakeholders**
- Stress Testing Team
- Enterprise Risk Management members
- Key Finance & Risk colleagues
- Business leadership
- Stress Testing Transformation Programme Team
- Key operations and technology partners / vendors
**ROLE-SPECIFIC TECHNICAL COMPETENCIES**
Results orientated, with attention to detail
Excellent interpersonal skills; comfortable in building relationships, with outstanding written and oral communication skills with high competency in MS Word, Excel and PowerPoint
Confident self-motivated person with a high level of drive and ability to operate in a fast-paced environment
Good problem-identification skills coupled with an analytical and pragmatic approach to proposing solutions
Knowledge of and direct experience in stress testing at a major international bank could be in a specific workstream such as Finance or market risk or credit risk, or at a group level, such as group risk or group finance. Pillar 1 modelling experience also valuable.
Understanding of banking products and the projection of profits and losses
Understanding of the regulatory capital framework including the inputs to RWA (PD, LGD, EAD) and of IFRS9
Good working knowledge in SAS/Python and Excel (Pivot Tables) to be able to use these on day 1
Experience with data reporting tools (Tableau, PVT) and the like
Strong IT skills such as SQL, VBA, Access skills are advantageous
**QUALIFICATIONS: Training, licenses, memberships and certifications**
The role holder will have experience in:
- Regulatory analytics in the financial services industry
- Knowledge of regulatory frameworks and Banking regulations
- CFA/FRM certification will be preferred
- Working across geographies and time zones
- Excellent oral, and written communication, and presentation skills
- Robust skills in qualitative and quantitative analysis e.g. financial and process
The role holder should comply with all mandatory e-learning as prescribed from time to time.
Pay: ₹2,200,000.00 - ₹2,800,000.00 per year
Schedule:
- Morning shift
Ability to commute/relocate:
- Bengaluru, Karnataka: Reliably commute or planning to relocate befor
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