Integrated Stress Test Manager

1 day ago

RHB Centre Tower Level, Malaysia RHB Bank Full time 150,000 - 250,000 per year

Primary Objective

- Develop and enhance stress test and reverse stress test related methodologies and processes.

- Involve in discussions with the stakeholders, management and regulators on stress test and reverse stress related matters.

- Involve in the projects related to stress test and scenario analysis such as Climate Risk Scenario Analysis and Recovery & Resolution Planning.

- Establish the credit concentration risk methodology.

Key Responsibilities

Stress test

-  Develop and enhance stress testing processes, methodologies and models to ensure it meets best practice relevant to internal requirements

-  Propose improvements on current stress test models and methodologies primarily those relating to Credit RWA and stressed ECL.

- Develop and enhance the reverse stress test processes and methodologies.

-  Identify potential stress scenarios and risk drivers

-  Develop and review policies and manuals related to stress testing

Credit Concentration Risk

-  Enhance methodology on credit concentration risk for incorporation in Pillar 2 risk and perform the review of the models as and when required.

Project-related to Stress Test

-  Participate in projects related to Stress Test such as Climate Risk Scenario Analysis and Recovery and Resolution Planning.

-  Work with relevant stakeholders and provide necessary inputs and proposals for the successful completion of the projects.

-  Perform the simulations and stress test required for the project.

Stress test

-  Develop and enhance stress testing processes, methodologies and models to ensure it meets best practice relevant to internal requirements

-  Propose improvements on current stress test models and methodologies primarily those relating to Credit RWA and stressed ECL.

- Develop and enhance the reverse stress test processes and methodologies.

-  Identify potential stress scenarios and risk drivers

-  Develop and review policies and manuals related to stress testing

Credit Concentration Risk

-  Enhance methodology on credit concentration risk for incorporation in Pillar 2 risk and perform the review of the models as and when required.

Project-related to Stress Test

-  Participate in projects related to Stress Test such as Climate Risk Scenario Analysis and Recovery and Resolution Planning.

-  Work with relevant stakeholders and provide necessary inputs and proposals for the successful completion of the projects.

-  Perform the simulations and stress test required for the project.

Requirement

Formal Education:Relevant degree in actuarial science, statistics, mathematics, economics and risk management.Preferred level of Experience:

Minimum of 3 years of experience in financial institution, preferably in risk management and stress testing

Other skills required:

-  Excellent analytical skill and critical.

-  Good interpersonal skills.

-  A team player with good learning attitude

-  Strong managerial skills.

- Good programming skills in data handling and statistical modeling.

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