Candidates for Manager Counterparty Credit Risk - Stress Testing

Job Description

* RESPONSIBILITIES Purpose
• Lead the execution 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, collaborating on methodology definition, maintaining documentation and governance standards
• Support the Head, Traded Credit Risk in the Global Counterparty Credit Risk Forum (GCCRF) and on board to the hub team CCR stress testing modules for countries
• Execute stress tests CCR and CCP stress test to meets to meet regulatory requirements.
• Carry out the EST stress testing analytics work for CCR exposures.
• Ensure compliance to EST procedures, methodologies and controls.
• Manage any all governance related aspects of Enterprisewide stress testing from Execution perspective
• Drive process improvements and best practices for more efficiency and productivity
Key Roles & Responsibilities
• Enterprise-wide Stress Testing (EST) Agenda
• Ensure the CCR stress test execution 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 and support presenting the final deck for stakeholder s sign-off.
• Ensure the CCR stress test execution of country exercises within agreed timelines. This includes owning the end-to-end process from performing the stress test and presenting the final deck for stakeholder s sign-off.
• Support presentation of the EWST stress results for internal review and challenge and subsequently the Accountable Executive within the agreed timelines for challenge and sign-offs.
• Manage communication with all internal and external stakeholders like senior management on CCR stress testing related queries.
• Support in presenting 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.
• Take a more front ending role in country tests for 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.
• Perform regular stress tests and assess the qualitative and quantitative impacts on balance sheet, profit and loss and capital ratios. Also, provide ad-hoc analysis when requested through writing and submitting papers to Group committees.
• 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.
• Co-ordinate with MTCR (Market and Traded Credit Risk) CCRM (Counterparty Credit Risk Models) and Risk infrastructure team to review stress sensitivities/scenarios and implement stress tests aligned with regulatory requests.
• Provide input, insight and management to ensure that strategic infrastructure programs will deliver to the CCR business vision.
• Ensure that any CCR stress testing related policies and procedures, model standards, specifications documents, templates and processes are kept up-to-date.
• Adhere to the completeness of Operational Risk Control activities and comply with internal audit and governance standards including EUC policy, procedure documentation and etc.
• Develop internal relationships with the wider Enterprise Risk function, Country Risk Function and externally with the other teams within the Risk function including Traded Risk, Risk Measurement, Risk infrastructure and governance.
• Deliver a high quality Structured Template Data (STDF) Templates, as per the requirements set out by the Prudential Regulation Authority (PRA) in the Bank of England (BoE) stress test
• Ensure compliance with governance related aspects of EST production and delivery.
Business Strategy and Model
• Good understanding of the firm s business strategy and its links with stress testing.
Risk Management and Control
• Understanding of risk management framework and how it translates to business strategy solution and implementation.
Governance, Oversight and Controls
• Demonstrate vigilance and aptitude in employing process controls to mitigate risks to the firm.
Regulatory Framework and Requirements
• Ability to comprehend the stress testing requirements as per regulatory rules.
Programming skills
• 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 SA, R, Python would be an advantage
Processes
• The role holder will need to support the establishment and documentation of all processes and effective controls for the new hub in accordance with the broader stress testing team
People and Talent
• The role holder will need to support development and stabilisation a newly formed team, working across geographies
Risk Management
• Ensure all activity adheres to the Enterprise Risk Management Framework, relevant policies and standards, with a specific focus on ensuring an effective framework for the management of operational risks as they pertain to the role.
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Keyskills :
keeping things simplerisk management frameworkenterprise risk managementcredit riskmarket riskstress test