Climate Risk Stress Test Mgr
1 week ago
Working Hour
- Regular Hours
- Monday - Friday- Business Area
- Risk & Credit Management- Location
- Malaysia - Kuala Lumpur- Description
**Primary Objective**:
- 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.
- Develop climate scenario planning/ stress testing capabilities
- 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
**Requirements**:
Bachelor Degree - actuarial science, statistics, mathematics, economics, risk management and finance..
Minimum of 5 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
- 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
- Benefits
Dental, Education support, Miscellaneous allowance, Medical, Loans, Sports (e.g. Gym), Parking, Vision, Regular hours, Mondays - Fridays, Casual Business Wear, Performance Based Rewards
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