VP - Credit Risk Stress Testing

Responsibilities 

• Perform stress test calculations using internal credit risk exposure models.
• Validate stress test results ensuring accuracy by working closely with Credit Risk Analytics on understanding and challenging existing methodologies for the calculation of different risk metrics.
• Close coordination with Credit Risk Officers for in-depth quantitative and qualitative analysis of the stress test results
• Work on multiple projects to enhance stress testing processes and improve risk capture

Experience 

• Experience of developing or running credit stress testing models 
• Strong analytical skills and familiarity with Counterparty Exposure management, including industry standard models used (e.g. potential exposure, expected loss)