VP/AVP, Climate Risk Stress Testing Specialist, Risk Management Group Permanent

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 regulatory & portfolio stress testing and general provisioning under IFRS9, including model development, execution, reporting and stakeholder management. This strategically critical role will assume ownership of the execution of Climate Risk stress tests, with a focus on expected credit losses and capital demand.
Responsibilities

• Assess industry practices and regulatory expectations to contribute to the development of in-house climate risk stress testing capabilities and approaches covering transition / physical risks
• Conduct assessment of climate risk scenarios, focusing primarily on the execution of stress tests and translation of climate risk scenarios/ macroeconomic forecasts to credit risk projections
• Generation of IFRS 9 ECLs (GP and SP), NPAs and/or regulatory credit risk capital demand (RWA and EL) projections across the entire Group’s credit portfolio in head office, branches, and subsidiaries.
• Generate reports for climate risk stress tests, including committee submissions and regulatory templates
• Conduct in depth analysis / deep dives of climate risk stress test results to identify and explain trends
• Coordinate and work across key stakeholders in IRB modelling, risk data, risk architecture and technology teams to develop and mange end-to-end stress testing processes
• Collaborate with locations to support the delivery of supervisory climate risk stress testing exercises as they emerge
• Explore and experiment with alternative modelling approaches for climate risk stress testing, including modification of existing stress testing models and approaches
• Support other internal and regulatory stress testing exercises
• Make active contributions to improving existing stress testing processes

Requirements

• Prior engagement in climate-related workstreams and other risk areas strongly desired
• Hands-on experience with stress testing or IFRS 9 ECL preferred, particularly climate risk stress testing
• Solid understanding of Basel, MAS and HKMA supervisory requirements, including increasing expectations on climate risk stress testing
• Understanding of Basel IRB models, Stress Testing and/ or IFRS9 models and approaches
• Knowledge of credit process and business products
• Excellent programming skills in SAS, Python, Spark, R or other advanced languages; experience working with large and complex datasets
• Strong team player with good stakeholder management skills
• Excellent level of verbal communication, writing and presentation skills
• University graduate or post-graduate with major in Finance, Statistics, or other quantitative discipline
• Minimum 5-7 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.