Manager - Counterparty Credit Risk + Stress Testing

The candidate for this position will be part of CCR (Counterparty Credit Risk) stress testing team involved in the execution of enterprise-wide stress tests for CCR work stream and ensure the timely delivery of the stress test results by conducting the CCR stress test, collaborating on methodology definition, maintaining documentation and governance standards.

Support the Head, Traded Credit Risk in the Global Counterparty Credit Risk Forum (GCCRF) and on board to the hub team CCR stress testing modules for countries. They will execute stress tests CCR and CCP stress test to meets to meet regulatory requirements and manage all governance related aspects of enterprise-wide stress testing from Execution perspective.

Responsible for driving process improvements and best practices automate manual processes for more efficiency and productivity and own quantitative changes and change requests.

For Group exercises, execution of CCR runs for stress results, 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. Involvement in other similar ST requirements issued by the likes of the Hong Kong Monetary Authority (HKMA) or Monetary Authority of Singapore (MAS)

Ensure that the stress testing methods employed are compliant with EST procedures and any deviation is properly documented and approved.

Ensure compliance with the Operational Risk Framework requirements and that quantitative controls are in place and executed in full.

Manage all correspondence via their nominated work stream leads, support functions and stakeholders.

Roles and Responsibilities

• 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 stakeholders 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 stakeholders sign-off.
• Support presentation of the EWST stress results for internal review & 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.
• 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.

Skill sets

Functional: Working knowledge & experience in Risk, Stress testing, Traded risk, Counterparty credit risk, Basel 3.1 etc.

Technical: Advance excel, SAS, Python. Should be able to handle, manage & analyse big data-set (data massaging, data transformation etc).