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Analyst for ICAAP/Stress Testing, Risk Capital

3 months ago

Singapore OCBC Full time
What does RPM do?
RPM comprises of a broad range of functions primarily focused on credit portfolio management across banking subsidiaries within OCBC Group. These include:
  • Assessing the risk and opportunities in the Bank's key markets and asset classes in the context of the Bank's risk appetite and against economic, structural and cyclical conditions.
  • Determining the risk and opportunities in the Bank's key markets and asset classes in the context of the Bank's risk appetite and against economic, structural and cyclical conditions.
  • Analysing and measuring credit and financial performance of the portfolio from multiple perspectives, including legal entity, business unit, customer segment, product, industry, geography. Identifying trends and drivers, drawing insights and developing management discussion points and recommendations
  • Developing, implementing and managing the credit risk measurement framework encompassing credit risk scorecards and rating models, risk weighted assets determination, risk measurement data and systems infrastructure, policy and processes, expert guidance to users on usage and interpretation. These frameworks are used in the credit underwriting, customer selection, limit setting, early warning and problem recognition, assessment of capital and provision adequacy internally as well as for regulatory compliance.
  • Managing suite of portfolio dashboards and reports to the Board, senior management, functional risk committees and supervisory authorities.

Position Available
Currently we have opportunities for an analyst to work in the following areas:
  • Design and implementation of credit stress testing framework and solutions of the Group, including climate scenario analysis and stress testing.
  • Comprehensive assessment of risks faced by the Bank and the capital demand estimations under Internal Capital Adequacy Assessment Process (ICAAP) in the Risk Division.

As our aim is to develop well rounded portfolio risk managers the senior analyst will also be required and have many opportunities to engage in
  • Validation of credit risk models (including IRB, IFRS9 ECL, Credit Economic Capital and Credit Stress Testing models)
  • Collaboration with functional areas in the design and review of other portfolio management initiatives described above.


Qualifications
We are looking for a candidate who has the following skills/qualifications and keen to build a career in the areas described above:
  • Strong analytical and computational skills, working knowledge of SQL and Python
  • Basic understanding of risk management concepts and banking products
  • Good oral and written communication skills
  • Independent, creative and pro-active problem-solving mindset
The following would be an added advantage:
  • Good understanding of Basel III and IFRS regulations and credit products
  • Experience in building credit risk models, for example, IRB/IFRS/Stress Tests/Climate risk models
  • Experience in climate scenario analysis and stress testing