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Support H- Regulatory Risk & executive management in the cascade and refinement of Risk Appetite to major subsidiaries and Lob, by interacting with stakeholders
Scan regulatory environment related to Stress Testing, ICAAP and capital planning and work closely with Risk and Finance (Balance Sheet Management) in this regard.
To collaborate with the IFRS 9 program team to set up the common infrastructure/ models/ processes required & provide managerial support if required for IFRS 9.
a. To assist in the cascade and refinement of Risk Appetite to major subsidiaries and LoB, by interacting with stakeholders.
b. Undertake refinements in the metrics, calibration of measures and ensure process flows for accurate reporting / escalation to MANCOM and BRC.
Stress Test & ICAAP:
Actively associate with the GH- BSM /GH-Risk/ H- Regulatory Risk to develop Scenario narratives and (with vendor support) generate Macroeconomic forecasts that are calibrated to the narrative and meets Governance challenges.
Develop Group wide capital and liquidity Stress Tests in conformity with the multi-jurisdictional requirements of the Group
Coordinate the process of Stress Test Execution (e.g. application of Business Growth assumptions, judgmental overlays, Mitigating actions etc.) with an appropriate governance process.
Development of comprehensive commentary for the Stress Test/ ICAAP detailing assumptions and impacts on Financial Statement elements, risk metrics and reasons thereof.
Support presentation and communication of the Stress Test results to Executive Management and Regulators
Support, Guide and develop ICAAP for Group (and principal subsidiaries in advanced jurisdictions)
 This role will guide and work through entity level Stress Testing/ICAAP resources (for major subsidiaries). In addition, the jobholder has to closely collaborate with the IFRS 9 Project Team in jointly developing the infrastructure, tools / techniques/ process and models for Stress Testing and IFRS9
Actively involve with the IFRS9 team and H- Regulatory Risk in the design and tools of the IFRS 9 system (and models) which will also be used for Stress Testing
Be responsible for Macroeconomic Model application & underlying PD/ LGD models (with appropriate granularity) including Model documentation ensuring Best Practice and jurisdictional Modelling/validation Standards for scenario transmission and usage in IFRS 9.
Job Context (Circumstances & environment surrounding the job):
Most demanding part of the job:
The jobholder is required to work in an environment of significant ambiguity with autonomy. (S)he has to navigate through and deal with major organisational issues for which there is no clear solution while still being able to provide judgment and clear direction. The jobholder is expected to demonstrate a high level of technical and managerial expertise. The challenges of the role include:
Having an enhanced knowledge of Wholesale credit business & products, expertise in credit risk modelling combined with core competence in the Regulatory space of Stress Testing (preferably with direct experience of running PRA/ EBA/CCAR Stress tests in a Wholesale multijurisdictional bank and an understanding of the regulatory environment in advanced jurisdictions.
Communicating with multi-functional (Risk, Finance, Business, Treasury) and multijurisdictional stakeholders to ensure a timely execution of Stress Test / ICAAP meeting enhanced and evolving Regulatory Requirements and deadlines with limited resources . Ability to create a large no. of managerial touch points to successfully leverage organizational information towards successful project execution.
Ensure with the help of Model Working Group (under IFRS9) that the underlying models are fit for purpose and are developed in sync. Maintaining integrity of internal Stress Testing models and underlying Rating systems, together with the IFRS9 Project Team.
Communicate with internal and external resources and stakeholders in non-technical language and in a manner supportive of business, while demonstrating technical expertise and emotional maturity ("Engine room to Boardroom"). Being able to navigate appropriately with consultants and senior management, using judgment and discretion.
Given the nature of the role, an appropriate profile will have (in addition to technical capabilities) worked for a Regulator in an advanced jurisdiction (PRA, OCC, HKMA etc.) in this space, or in a Regional or Group role in a functionally integrated international bank or in a senior implementation role in a leading consultant firm.
6-10 years' experience in Model development / Application of statistics and numerical techniques
Strong knowledge of wholesale credit business, wholesale credit products as well as PRA/EBA Stress Testing & Liquidity Stress Tests
Strong knowledge of wholesale credit business, wholesale credit products as well as Basel 2 Stress Testing
Good understanding of market risk (including traded credit)
Education / Certifications
University degree in a quantitative field (preferably statistics/ actuarial sciences)
A specialized Risk Management qualification (e.g. FRM/PRMIA) is a good to have.
Hands-on expertise sophisticated tools for numerical analysis (e.g. SAS).
Open personality and effective communication skills (including strong writing skills), ability and flexibility to work in a multicultural environment.
Good interpersonal and leadership skills, emotional maturity and ability to navigate through discussions with Regulators, Senior management and consultants
Permanent Invitee, Capital & Liquidity Sub-Committee of GALCO; Member of the Scenario, Model and Stress Testing Execution Working Groups