Integrated Stress Test Manager

2 weeks ago

Kuala Lumpur, Kuala Lumpur, Malaysia RHB Banking Group Full time 120,000 - 240,000 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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