Primary Objective
- Develop and enhance the climate scenario planning and stress test with focus on expected credit losses and capital demand, including methodologies and processes from the risk perspective.
- Involve in discussions with the stakeholders, management and regulators on climate stress test related matters.
- Development, implementation and enhancement of effective climate risk stress testing infrastructure.
Key Responsibilities
-Β Develop and enhance the climate risk stress testing processes, methodologies and models.
-Β Engage with internal stakeholders to support delivery of the climate risk stress testing.
- Develop climate scenario planning/ stress testing capabilities
- Conduct assessment of climate risk scenarios, focusing primarily on the execution of stress tests and translation of climate risk scenarios to credit risk projections
- Simulate MFRS9 ECL and/or regulatory credit risk capital demand (RWA and EL) projections for the credit portfolios.
- Prepare and submit reports for climate risk stress tests for management, board and regulator.
- Conduct in depth analysis of climate risk stress test results to identify risk drivers.
- Implement and enhance a robust climate risk stress testing system through testing and maintenance of the system.
- Develop climate policies and manuals related to climate stress testing
- Address any CRR related to climate stress testing.
- Support other internal and regulatory stress testing exercises
Requirements
Relevant degree in actuarial science, statistics, mathematics, economics, risk management and finance.
Minimum of 5 years of experience in financial institution, preferably in risk management and stress testing.
-Β Understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches
- Understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches
- Strong managerial and analytical skills
- Solid statistical modeling knowledge
- Strong programming skills in Excel, SAS, Python or other advanced languages, in data handling and statistical modeling
- Excellent communication skill : Written, Verbal and Presentation Skills
- Ability to interact in a professional manner with both external & internal parties
- Prior experience in ESG/Climate risk management or broader climate related topics preferred