Responsibilities
1. Credit Stress Testing & Scenario Analysis
Lead the design, execution and enhancement of periodic and ad hoc credit stress testing exercises for regional portfolios, with a focus on top-down and bottom-up scenario analysis.Develop, refine and assess macroeconomic, sector-specific and idiosyncratic stress scenarios, including interest rate shocks, refinancing risk, asset value deterioration, geopolitical developments and other downside events.Ensure the model risk aspects, including validation, back-testing, sensitivity analysis, assumptions and limitations are documented.Evaluate the impact of stress scenarios on the regional portfolio, including credit quality, expected loss / credit cost, profitability, concentration and risk appetite metrics, as relevant, and provide clear recommendations to senior management.Take ownership of enhancing the regional credit stress testing framework, method...