Senior AVP - Stress Testing Model Development - APAC Portfolio - Bank

Senior AVP

- Opportunity to participate in the development of state of the art stress testing models for AIRB Parameters (PD, LGD, EADs)

- Involvement in the delivery of an ambitious Stress Testing program (with focus on APAC portfolio) in close collaboration with a US related capital adequacy Stress-Testing streams in the bank

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis and answering technical or background questions on the models and requirements.

- Work closely with the global stress testing team on methodology aspects.

- Work with Risk IT in the implementation of new methodologies.

- Produce analyses required for regulatory reporting and analyses requested by regulators.

- Experience of PD, LGD and CCF models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

Should have 6-7+ years of experience (in a quantitative role) with at least some of the following :

- OTC Derivatives (At least one asset class), Secured Financing Transactions

- Pricing models

- Computation of risk metrics (e.g VaR, EPE, PFE, RWA, Greeks)

- Credit Portfolio Modelling

- Default and migration risk modelling, PD/LGD/CCF Modelling

- Scenarios and stress testing

- Regulatory framework and rules (e.g. BASEL 2/3, CRD IV, AIRB, IMM etc)

- Good quant skills and aptitude

Good technical skills - Exposure to one or more of the below :

Programming and Algorithms : R (preferable), VBA / advanced Excel, Matlab etc

- Databases and SQL : MS Access, MySQL, Oracle etc

- Understanding of IT implementation / infrastructure, as role needs to liaise with Risk IT

- Advanced / Master's degree in finance, mathematics, econometrics, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate solid quantitative understanding to be able to understand the stress testing framework in depth are welcome to apply as well