The role involves delivering prudent, forward-looking credit risk measurements, including regulatory capital (RWA), economic capital, expected credit loss provisions, and predictive risk analytics across macroeconomic and climate-related scenarios.
- Design and implementation of credit RWA, economic capital, ECL and credit stress testing solutions.
- Provide advisory on RWA and ECL treatment for new products, particularly derivatives and SFTs
- Provide portfolio insights through comprehensive analysis of Credit RWA, economic capital and ECL
- Execution of bank‑wide credit stress testing, including Pillar 1 cyclicality, ICAAP, regulatory stress tests, and event-driven stress tests.
- Conduct research on leading industry practices and keep our methodology and guidelines up to date.
- finance
- economics
- risk management
