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VP, IFRS9 & Stress Test Modelling, Risk Management Group

DBS Bank Limited Singapour
Mise en ligne il y a 1 jour CDI Competitive
VP, IFRS9 & Stress Test Modelling, Risk Management Group
Business Function

Risk Management Group works closely with our business partners to manage the bank's risk exposure by balancing its objective to maximise returns against an acceptable risk profile. We partner with origination teams to provide financing, investments and hedging opportunities to our customers. To manage risk effectively and run a successful business, we invest significantly in our people and infrastructure.

The team is responsible for both regulatory stress testing and general provisioning under IFRS9, including model development, execution, reporting and stakeholder management. This role will focus mainly on executing stress tests under ICAAP, IWST and Pillar 1 alongside supporting model development for IFRS9 and stress testing models. There is an expectation to eventually rotate responsibilities within the team to enhance integration and support career development.

Responsibilities
  • Stress test execution (RWA) of Pillar 1 Credit Stress Test, IWST, SDST, ICAAP and other regulatory stress tests as required by MAS and HKMA
  • Conduct in depth analysis / deep dives of stress test results to identify and explain trends
  • Evaluate intuitiveness of stress test results
  • Develop and propose improvements to IFRS 9 and stress test methodologies and processes
  • Lead tech and systemisation initiatives by defining user-requirements and conducting UAT pertaining to stress testing
  • Lead any reporting requirements for internal or regulatory use (such as CRS)
  • Stakeholder management
  • Explain and defend methodology, approaches, assumptions and results to stakeholders such as Management, Model Validation, Auditors and Regulators
  • Support stress test execution (ECLs) for Group ICAAP and HK ICAAP
  • Support IFRS9 and stress testing model development
  • Monitor and feedback regarding model performance from in-use perspective
  • Provide ideas for improving the efficiency in the team
Requirements
  • Solid understanding of Basel, MAS and HKMA supervisory requirements, including calculation of EAD/RWA/EL
  • Understanding of statistical / econometric / modelling theory and technical applications in credit risk
  • Knowledge of credit and business products
  • Excellent Python, Pyspark, Scala, SAS and advanced programming skills
  • Experience working with large and complex datasets
  • Strong team player
  • High level of communication, writing and presentation skills
  • University graduate or post-graduate with major in Finance, Statistics or other quantitative discipline
  • Minimum 5 years of relevant experience in areas described above
Apply Now

We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.

Référence  WD43449
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