AddressStress Testing - Credit Risk / Regulatory Reporting
The role holder is responsible for the following in undertaking the role:
- Deliver on the Credit Risk requirements for the Enterprise-wide Stress Testing (EST) exercises
- Carry out the EST Stress Testing analytics work
- Ensure compliance to EST procedures, methodologies and controls.
- Manage all governance related aspects of the execution of credit risk Stress Testing
- Drive process improvements and best practices for more efficiency and productivity
- Lead and manage the support staff necessary for the production of credit risk stress calculation with a focus on the banking book
- Support development and maintenance of underlying models to enhance credit risk Stress Testing methodology.
- Deliver adequate documentation on Stress Testing methodology subject to management, model validation, audit & regulatory scrutiny.
- Deliver on the operational risk framework for the credit risk stress test process.
- Stress Testing model execution Execute the models from end-to-end, from T0 and input preparation to output checking for reasonableness at high level
- Prepare the T0 which are not provided by data team. The data will be sourced from Reg return / financial statements
- Prepare the scalars for input tables and fine-tune the results in subsequent model runs
- Execute the full model run, prepare the mapping for the financial summary by linking it to model output for review
- Check with teams who conduct external projections (e.g. traded risk), collect & use the EM tables
