AVP - Stress Testing/Counterparty Credit Risk - Investment Bank

AVP - Stress Testing - Counterparty Credit Risk for a renowned investment bank

The role holder is responsible for the following in undertaking the role:

- Ensure the CCR stress test execution of EWST exercises (Group ICAAP and BoE stress test) within agreed timelines. This includes owning the end-to-end process from performing the stress test and support presenting the final deck for stakeholder's sign-off.

- Ensure the CCR stress test execution of country exercises within agreed timelines. This includes owning the end-to-end process from performing the stress test and presenting the final deck for stakeholder's sign-off.

- Support presentation of the EWST stress results for internal review and challenge and subsequently the Accountable Executive within the agreed timelines for challenge and sign-offs.

- Manage communication with all internal and external stakeholders like senior management on CCR stress testing related queries.

- Support in presenting the CCP (Central Counterparty) and CCR stress results at the working group and committee level for reporting of losses/impairments, CCR RWA, CVA RWA and excess EL.

- Take a more front ending role in country tests for CCP (Central Counterparty) and CCR stress results at the working group and committee level for reporting of losses/impairments, CCR RWA, CVA RWA and excess EL.

- Report, monitor and perform regular and ad-hoc investigation on stress test results and wrong way risk for the Derivatives portfolio.

- Perform regular stress tests and assess the qualitative and quantitative impacts on balance sheet, profit and loss and capital ratios. Also, provide ad-hoc analysis when requested through writing and submitting papers to Group committees.

- Review, update and maintain EWST and traded risk models/methodologies related to CCR stress testing. E.g. CCP stress test model, stress CVA RWA model and etc. to ensure they are compliant with regulatory and internal audit and governance requirements.

- Co-ordinate with MTCR (Market and Traded Credit Risk) CCRM (Counterparty Credit Risk Models) and Risk infrastructure team to review stress sensitivities/scenarios and implement stress tests aligned with regulatory requests.

- Provide input, insight and management to ensure that strategic infrastructure programs will deliver to the CCR business vision.

- Ensure that any CCR stress testing related policies and procedures, model standards, specifications documents, templates and processes are kept up-to-date.

- Adhere to the completeness of Operational Risk Control activities and comply with internal audit and governance standards including EUC policy, procedure documentation and etc.

- Develop internal relationships with the wider Enterprise Risk function, Country Risk Function and externally with the other teams within the Risk function including Traded Risk, Risk Measurement, Risk infrastructure and governance.

- Deliver a high quality Structured Template Data (STDF) Templates, as per the requirements set out by the Prudential Regulation Authority (PRA) in the Bank of England (BoE) stress test

- Ensure compliance with governance related aspects of EST production and delivery.