The
Enterprise Risk Stress Testing (ERST) Officer monitors, reviews, analyzes, and reports financial impacts of market, economic, and/or other stress scenarios as well as develop and utilize relevant stress testing models in order to assess the impacts of credit, market and operating losses and other risk exposures to the Bank's profit, asset growth, and liquidity.
Primary Responsibilities
- Policies Formulation. Assist in the formulation of policies, standards, frameworks, and process guidelines consistent with the Bank's strategies, level of tolerance, and risk appetite.
- Risk Measurement. Build and perform the qualitative and quantitative assessments of stress test modeling including theoretical aspects, model design, and implementation while ensuring data quality and integrity. Challenge and review processes, programs, and stress scenarios, amongst others, when applying stress testing methodology to ensure it reflects the current and future state of the Bank in relation to risks.
- Integrated Risk & Capital Stress Testing. Execute stress testing of all enterprise-wide risks including but not limited to market, regulatory capital, credit, finance, operational, liquidity, reputational, and the interrelation of risk across the Bank. Provide overall support to meet requirements for regulatory stress testing including but not limited to the Internal Capital Adequacy Assessment Process (ICAAP).
- Risk Reporting & Communication. Define and interpret stress test results as well as propose any recommendations in accordance with the integrated risk and capital stress testing framework for presentation to various internal and external clients of the Bank. Coordinate with various business/risk units to ensure completeness, accuracy, and timeliness of risk reports provided for any investor relation activities or related thereto.
- Strategic Support. Support ad hoc projects to further enhance the Bank's Enterprise Risk Stress Testing activities. As delegated, perform all functions directed by the Immediate Supervisor.
Qualifications
- Basic understanding of global and economic markets analyses, bank risk management principles and business processes, and qualitative and quantitative modeling theory
- Knowledge in basic Statistics and the application of statistical methods to economic data.
- Basic understanding of the regulatory environment in financial services such as, but not limited to, BSP, BASEL, PFRS9, etc.
- Prior school or research work and/or experience related to predictive behavioral modelling, programming and/or statistical studies, particularly on risk and/or stress testing.
- Bachelor's Degree in Economics, Finance, Mathematics, Statistics, or other business/statistics related course
- Preferably (but not required) with graduate units in MS Finance/Computational Finance/Financial Engineering, Mathematics, or Statistics.
