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)