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AVP/Senior Associate, Non-Retail Stress Testing & General Provisioning (IFRS9), Risk Management G...

Keywords / Skills : AVP/Senior Associate, Non-Retail Stress Testing & General Provisioning (IFRS9), Risk Management G...

Posted: 2019-06-12

Banking/Financial Services
Banking, Insurance & Financial Services
Other BFSI
Posted On
12th Jun 2019
Job Ref code
Job Description
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.  
  • Support stress test execution of Pillar 1 Credit Stress Test, IWST, SDST, ICAAP and other regulatory stress tests as required by MAS and HKMA
  • Initial focus on non-retail portfolio EAD/RWA/EL stress test projections, with responsibilities expanding into general provisioning (i.e. IFRS9) and/or model development over time
  • Reproduce Bank’s production RWA calculations using SAS when required for "out-of-system" runs
  • Generate stress test reports, including committee submissions and filling regulatory templates
  • Conduct in depth analysis / deep dives of stress test results by querying data sets to identify and explain trends
  • Explain and defend methodology, approaches and assumptions to stakeholders such as Management, Model Validation, Auditors and Regulators
  • Develop and propose improvements to stress test methodologies and processes
  • Automate / standardise processes and reports
  • Support systemisation initiatives by defining user-requirements and conducting UAT
  • Evaluate intuitiveness of stress test results
  • Monitor and feedback regarding model performance from in-use perspective
  • Assist in building analytical solutions for IFRS9 Expected Credit Loss (ECL) models and enhance the methodology when required
  • University graduate or post-graduate with major in Finance, Statistics or other quantitative discipline
  • Minimum 5-7 years of relevant experience
  • 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 achievement  

About Company

DBS is a leading financial services group in Asia, with over 280 branches across 18 markets. Headquartered and listed in Singapore, DBS has a growing presence in the three key Asian axes of growth: Greater China, Southeast Asia and South Asia. The bank's capital position, as well as "AA-" and "Aa1" credit ratings, is among the highest in Asia-Pacific. DBS has been recognised for its leadership in the region, having been named “Asia's Best Bank” by The Banker, a member of the Financial Times group, and “Best Bank in Asia-Pacific” by Global Finance. The bank has also been named “Safest Bank in Asia” by Global Finance for seven consecutive years from 2009 to 2015.
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