AVP- Stress Testing

5 months ago

Bengaluru, India First Abu Dhabi Bank Full time

Job Description

Job Purpose:

The candidate would play a key role in the Portfolio Capital Management, Basel & Risk Analytics team with the Group Risk function and would be accountable for providing support in the Regulatory and Internal Stress testing exercises of the bank. The candidate would be required to liaise with various internal and external stakeholders for the same. Further, it is expected that the candidate is well versed with local and international guidelines pertaining to Basel and Stress testing as well as have good working knowledge of R and Python to carry out the BAU and automation activities.

Key Accountabilities:

Regulatory and Internal Stress testing

Regulatory - FSU Stress testing computations Perform the Credit Risk Stress testing computations as per the CBUAE guidelinesCoordination with relevant stakeholders regarding FSU Stress testing inputsPerform variance analysis explaining reasons for the variancePreparation and update of CBUAE Stress testing templates for submissionLiaise with external auditors for any queries pertaining to computations and for completion of external validationLiaise with regulatory examiners for clarifications of any queries pertaining to computations as well as for required approvals to proceed with the stress testing exercise Internal Pillar II & Stress testing computations Perform computations of capital charges under Pillar II including but not limited to the below:Foundation IRB (F-IRB) Approach for Credit RiskMarket Risk and Operational Risk Internal AssessmentName, Sector and Geography Credit Concentration using different methodologiesCompliance risk etc.Perform stress testing computations under multiple idiosyncratic, macro-economic & reverse stress test scenariosPerform the CRWA and Credit Risk Stress testing computations as per the internal approved methodology and under different idiosyncratic, macro-economic and reverse stress test scenariosPerform variance analysis explaining reasons for the varianceCoordination with relevant stakeholders regarding inputsPreparation and sharing of relevant details with regulators and internal / external auditors and assist in addressal of related queries

Pillar II & Stress testing Automation

Understand and execute the existing R / Python Codes used for Pillar II & Stress testing Work towards identification of opportunities for continuous improvement and further automation of the existing processes by development of new codes using R / Python Review and update existing Pillar II & Stress testing models as well as develop new models in line with best practices and international and local regulatory guidelines

MIS Reporting & Impact Assessments (QIS)

Preparation of Stress testing analysis by business segments, products and other dimensions as required by management Liaise with other business units in obtaining necessary datasets required for the preparation of any adhoc analytical reports for submission to Senior Management Perform thematic / ad-hoc stress testing as per internal requirements in liaison with Credit and other units

International Locations Support

Share the Pillar II & Stress testing extracts with the international branches and subsidiaries for their consumption as per requirements Guide the branches in the usage of the extracts and models as well as review their ICAAP / Stress testing submissions

Cross-Functional Support

Assist in reporting as well as presentation requirements pertaining to Internal Capital Adequacy Assessment Process (ICAAP) as and when required Assist in reporting as well as presentation requirements pertaining to Recovery and Resolution planning (RRP) as and when required

Qualifications

Minimum Qualifications:

Working knowledge and certifications in R / Python required Post Graduate degree in Business / Finance / Statistics preferred

Minimum Experience:

4-6 years in a financial institution / consulting firm with at least 2-3 years of Stress testing and R / Python experience

Knowledge, Skills, and Attributes:

Local & international regulations for Basel Local / International regulatory requirements pertaining to Stress testing Working knowledge of R / Python Excellent numeracy and accuracy Exceptional analytical skills

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