Statistical Analyst - Credit Risk

Statistical Analyst - Credit Risk

External Stress Testing :

- Develop macroeconomic models to define stress scenarios

- Update macroeconomic models periodically to align with the current economic conditions and the Bank's portfolio

- Understand the stress testing regulatory requirements of the geographies the Bank operates in

- Understand and implement the latest stress testing methodologies to ensure the Bank is prepared for economic downturns and associated events

- Calculate the incremental capital charge required for Pillar 2 disclosures

- Support the preparation of the Pillar 2 risk report

- Perform any ad hoc stress tests as required by the Central Bank/ other external agencies Internal Stress Testing

- Identify vulnerable/ risky portfolios to determine the frequency and scale of stress tests to be conducted

- Perform stress tests on different portfolios and assess the impact on, among other things, the Bank's capital adequacy, leverage and profitability

- Report the results of the periodic/ ad-hoc stress testing exercises in a timely and comprehensible manner to the senior management

- Formulate corrective management actions based on the outcome of the stress tests

Credit risk modelling :

- Support the development of credit risk models by performing data analysis and statistical methods (regression, decision trees etc.)

- Refinement of analytical framework for risk-based pricing

- Assist in periodic monitoring of model performance parameters

- Assist the HO team in data analysis and developing analytical methods for risk limits, such as industry and country.