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Head, Climate Risk Stress Test Manager

1 month ago

Kuala Lumpur, Kuala Lumpur, Malaysia RHB Banking Group Full time

Be among the first 25 applicants

  • Develop and enhance the climate scenario planning and stress test with focus on expected credit losses and capital demand, including methodologies and processes from the risk perspective.
  • Involve in discussions with the stakeholders, management and regulators on climate stress test related matters.
  • Development, implementation and enhancement of effective climate risk stress testing infrastructure.

Key Responsibilities:

  • Develop and enhance the stress testing processes, methodologies and models.
  • Engage with internal stakeholders to support delivery of the climate risk stress testing.
  • Conduct assessment of climate risk scenarios, focusing primarily on the execution of stress tests and translation of climate risk scenarios to credit risk projections.
  • Simulate MFRS9 ECL and/or regulatory credit risk capital demand (RWA and EL) projections for the credit portfolios.
  • Prepare and submit reports for climate risk stress tests for management, board and regulator.
  • Conduct in depth analysis of climate risk stress test results to identify risk drivers.
  • Implement and enhance a robust climate risk stress testing system through testing and maintenance of the system.
  • Develop climate policies and manuals related to climate stress testing.
  • Address any CRR related to climate stress testing.
  • Support other internal and regulatory stress testing exercises.

Requirements:

  • Bachelor Degree - actuarial science, statistics, mathematics, economics, risk management and finance.
  • Minimum of 8 years of experience in financial institution, preferably in risk management and stress testing.
  • Understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches.
  • Strong managerial and analytical skills.
  • Solid statistical modeling knowledge.
  • Strong programming skills in Excel, SAS, Python or other advanced languages, in data handling and statistical modeling.
  • Excellent communication skill: Written, Verbal and Presentation Skills.
  • Ability to interact in a professional manner with both external & internal parties.
  • Prior experience in ESG/Climate risk management or broader climate related topics preferred.
Seniority level

Mid-Senior level

Employment type

Full-time

Job function

Other

Industries

Banking and Financial Services

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