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Climate Risk Stress Test Mgr

2 weeks ago

Kuala Lumpur, Malaysia RHB Banking Group Full time

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