VP/AVP, IFRS9 (General Provisioning) & Stress Testing - Retail & Corporate, Risk Management Group VP/AVP, IFRS9 (General Provisioning) & Stress  …

DBS Bank Limited
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
DBS Bank Limited
in Singapore, Singapore, Singapore
Permanent, Full time
Be the first to apply
Competitive
VP/AVP, IFRS9 (General Provisioning) & Stress Testing - Retail & Corporate, Risk Management Group
Business Function

Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.

Key Accountabilities
  • Overarching view over models, methodologies, execution for IFRS 9 and Stress testing across Non-retail and Retail portfolios
  • Explain and defend methodology, approaches and assumptions to stakeholders such as Management, Model Validation, Auditors and Regulators
  • Additionally, stakeholder management includes discussions with business and credit teams and understanding / solving their concerns
  • Develop / enhance IFRS 9 and stress test models (PD, LGD, EAD) and approaches for non-retail and retail portfolios
  • Support stress test execution (RWA) of Pillar 1 Credit Stress Test, IWST, SDST, ICAAP and other regulatory stress tests as required by MAS and HKMA
  • Support stress test execution (ECLs) for Group ICAAP and HK ICAAP
  • Conduct in depth analysis / deep dives of stress test results to identify and explain trends
  • Develop and propose improvements to IFRS 9 and stress test methodologies and processes
  • Provide ideas for improving the efficiency in the team
  • Support systemisation initiatives by defining user-requirements and conducting UAT


Additional Responsibilities
  • Evaluate intuitiveness of stress test results
  • Monitor and feedback regarding model performance from in-use perspective
  • Mentor and coach junior staff members to enhance team's capabilities


Requirements
  • University graduate or post-graduate with major in Finance, Statistics or other quantitative discipline
  • Minimum 7 years of relevant experience in areas described above
  • Solid understanding of Basel, MAS and HKMA supervisory requirements, including calculation of EAD/RWA/EL
  • Understanding of statistical / econometric / modelling theory and technical applications in credit risk
  • Knowledge of credit and business products
  • Excellent SAS and advanced programming skills
  • Experience working with large and complex datasets
  • Strong team player
  • High level of communication, writing and presentation skills


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.
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