AVP - Stress Testing/Wholesale Credit Risk - Financial Services

Job Description : 

Role Purpose (overall high level summary of the role) : 

- Wholesale Credit and Market Risk (WMR) department within Risk function measures and monitors global credit and market risks arising from lending and trading activities as well as providing credit approval for large corporate, financial institution and sovereign exposures.

- The Stress Testing team within WMR ensures that stress testing is implemented across the group in line with best practice for the purpose of (i) risk management, (ii) compliance with the Basel II/III regulatory framework and (iii) meeting enterprise-wide stress testing needs. One of the primary objectives of this team is to ensure that stress testing is executed consistently across three risk types: market risk, counterparty risk and wholesale credit risk. The scope of the team is both the trading and the banking books.

- The role requires supporting the ownership and accountability on some of the key elements of the stress testing framework along with managing a team working on similar deliverables. This includes: (i) providing methodology guidance to the local sites with the support of the Group methodology team (RRA), (ii) consolidating results, (iii) delivering analysis to Senior Management and (iv) ensuring that stress testing is meeting the demands of the front office and regulators.

More specifically the responsibilities of the position are as follows:

Risk management: 

- Help senior members of the team form a judgment on the appropriateness of positions vs. risk appetite using stress results computed by numerous teams across the Group. Help risk appetite definition. Transform Senior Management strategy and questions into practical stress testing approach to improve risk-reward decisions. Take initiatives to develop innovative solutions

Regulation and methodology: 

- Contribute and take part of the responsibility for ensuring that stressed risk measures are in line with best practice and meet regulatory requirements.

Expertise: 

- Be part of the team that is the main point of contact in WMR for stress testing questions coming from local regions, other teams and regulators. Drive the incentive and provide directions to the local sites so that (i) stress testing is used appropriately by risk managers for decision making, (ii) vulnerabilities in the portfolio are well understood by senior management.

People Management: 

- Lead & guide a team of individuals working on various aspects of wholesale credit risk measurement, analysis & reporting for the HBAP portfolio.

Principal Accountabilities: 

Key activities and decision making areas: 

Typical Targets and Measures: 

Impact on the Business/Function : 

- Transform high level macro/market events into relevant scenarios for practical risk mitigation implementation and enterprise-wide stress testing.

- Project manage enterprise-wide stress testing as required by regulators for WMR. Review, validate and overlay results to ensure that they are consistent with the defined scenario.

- Contribute to credit risk analyses and drive the implementation of new stress scenarios and stress testing methodology through WMR globally for risk arising from trading and wholesale activity.

- Support local sites so that (i) stress testing is used appropriately by risk managers for decision making, (ii) vulnerabilities in the portfolio are well understood by senior management and credit approval officers, and (iii) stress results are factored into risk appetite and risk mitigation decisions.

- Involvement in the decision process ensuring that stressed risk measures are in line with best practise and meet regulatory requirements. Contribute to the necessary actions required to meet these requirements in terms of governance, methodology, and IT infrastructure.

- Contribute to the implementation and delivery of stress scenario results for capital planning on business activity.

- Take initiatives to develop innovative solutions in order to address ad-hoc requests from senior management on stress scenario results. Lead the development of ad-hoc tools and prototypes.

- Consistent and relevant preparation of analysis for the monthly Stress Test Review Group (STRG) and manage successfully issues that arise from these processes.

- Accurate and comprehensive stress results and accompanying commentary packs to be provided for enterprise-wide stress tests with favourable feedback from the regulators.

- Relevant and well-calibrated scenarios are designed and analysed on a timely basis as management requests and market circumstances dictate.

- Systems are developed and upgraded smoothly. No significant issues are raised by regulators. Scope coverage must ensure that credit exposure and market risk are appropriately captured.

- Production of meaningful and consistent stressed capital results in a timely manner. These must be in line with the scenarios assumptions submitted by the risk strategy team.

- Fast and accurate response to senior management's queries addressing stress testing questions.

Customers / Stakeholders :

Work in collaboration with a large numbers of parties to generate, communicate and use stress testing results.

The parties includes:

- Regional WCR teams and Heads of Risk.

- Global Markets: sales and trading, Credit Treasury

- Global Businesses

- Central Stress Testing Team

- RRA

- Finance, including Regulatory Reporting

- Global Risk Technology

- PRA and other regulators

- Clear and comprehensive analysis of key risks and timely response to requests for information; measured through positive feedback from stakeholders.

- Robust stress testing measurement systems are provided, along with clear policies, guidance and data requests; measured through positive feedback from stakeholders.

- Clear requirements are delivered on time and participation in design and testing is active.

- Accurate and timely responses to information requests. Positive view of risk approach.

- Leadership & Teamwork

- Emphasis must be put on prioritization of requests from stakeholders.

- Contribute to various stress testing committees and provide guidance through policies.

- Provides support to WMR colleagues when required. Offer innovative solutions.

- Lead a team

- Consistent planning and priorities of deliveries with associated rationale.

- Positive feedback from team members.

- Positive feedback from colleagues.

- Operational Effectiveness & Control

- Actively monitor regional practises and guide delivery to ensure that they are in line with Group policies. Ensure that Group Audit reviews of systems and practises related to stress testing and risk measurement proceed smoothly.

Adequate regional practice.

- No high-risk and minimal medium/low risk audit points; positive regulator feedback in regions.

Major Challenges (The challenges inherent in the role that require a continual test of the role holder's abilities):

Technical field:

- Understand complex market and credit risks arising from business activities and applying judgment to determine which risks are significant and likely enough that they warrant management attention.

- Develop an expertise in stress testing techniques in the field of wholesale credit risk.

- Being able to acquire knowledge of risk systems

- Must have and maintain a deep understanding of market behavior and economics, to guide definition of stress scenarios.

- Identifying key business needs and translating these into clear systems requirements that can be implemented by developers.