VP Credit Risk - Stresstesting,ICAAP,MV,Credit Modelling
Broad function within dynamic environment
Combination of content and stakeholdermanegement
About Our Client
One of the largest financial institutions in the world.
- Lead enhancement of credit stress testing capabilities by developing a new credit stress test model prototype and lead implementation into OneSumX platform;
- Enhance internal capital stress testing model capabilities;
- Set a data base and lead development of PDs and LGDs for local needs;
- Contribute to enhancement of current stress testing processes to ensure assumptions can be revised, refined or updated to adapt to business, regulatory and market changes;
- Perform sensitivity analysis and capital stress testing activities to test the resilience of the bank under extreme macro-economic conditions, and communicate the results to the management;
- Organize large data sets to produce clear, concise and meaningful reports for internal and external stakeholders;
- Support the Internal Capital Adequacy Assessment (ICAAP) and the Recovery Plan processes;
- Assist in validation of internal models and participate in regular communication with model owners in Amsterdam, London and Tokyo.
- Assist in other ad-hoc assignments and projects owned by the CRM team.
The Successful Applicant
- At least 3 years of work experience in risk management, finance or advisory roles;
- Desirable proven experience with stress testing;
- Working knowledge of programming language (i.e. Python, R, SQL);
- Advanced Excel (VBA), Modeling, Data Manipulation;
- Understanding of EBA guidelines with respect to stress testing requirements;
- Academic degree in Economics, Econometrics, Finance, Engineering or other relevant field of study;
- Preferably completed CFA, FRM or PRM;
- Analytical Abilities/Financial Acumen/Problem Solving;
- Fluent language skills in English.
What's on Offer
- A competitive remuneration package.