Purpose of Job:
Design, implement and the execute analytical models that support the Bank’s stress testing processes. There is particularly focus on revenue modelling associated with Enterprise Wide Stress Testing and related processes regarding balance sheet optimisation and risk appetite metrics.
Participate in the following activities:
- Develop and maintain the Pre-provision net revenue (PPNR) models for the wholesale and retailportfolios, essentially modelling revenue under stress. The models will assess the impact of macroeconomic scenarios and contagion events, using internal expertise and historic information.
- The scope is over all revenue-generating products, including retail, non-retail and wealth. Primary (but not exclusive) drivers which need to be projected are business volumes and margins.
- Ensure models align with industry best practice.
- Document the models developed and provide overview and summary information to management
- Develop a systematic approach for challenging the expert judgments that are used in the models. Work closely with all business lines. For those business lines with their own quantitative models, engage in a comparative analysis of their relative merits.
- Support other stress testing staff by providing results of the models, explaining the models, the results, and make required adjustments to inputs or outputs to ensure that scenarios are meaningful
- Analyze the relationships between the stress test models results and the actual revenues
- Work with the Model Validation team to assure timely and satisfactory validation
- Respond to inquiries from regulators, Audit and executive management about modelling results and techniques and any limitations or assumptions embedded in the models
- Graduate degree in a quantitative discipline required, excellent statistical skills, 5 or more years of experience within risk management, preferably in a model development role
- Proficiency in SAS, R or related programming languages and platforms
- Designation such as FRM, PRM or CFA are desirable
- The types of results produced by the models will cover a broad range of measures used in the Bank, such as capital, PCL and liquidity. Therefore the position requires a high degree of adaptability and the ability to learn new concepts quickly
- The incumbent should have strong communication skills. The position requires an ability to efficiently interact and communicate with many stakeholders across of a variety of areas
- The candidate must exhibit maturity, balanced judgment, leadership and team skills
Requisition ID: 21872