Market Risk & Stress Testing Manager - Banking

Market Risk & Stress Testing Manager – Banking

Exciting opportunity opens for a Market Risk & Stress Testing Manager to take on a newly created pivotal role in maintaining the Bank's risk management analytics and stress testing function, the management of model risk and associated governance, and implementing market risk policies across the Bank.

Stress Testing

• Leads the enhancement, annual refresh and implementation of Bank’s Stress Testing Framework and associated governance.
• Supports in designing the annual stress testing plan, including alignment to regulatory requirements and industry practice.
• Designs and executes assigned stress testing exercises working closely with SMEs in businesses and functions (Risk, Finance, etc.). Carries out periodic stress testing of market and liquidity risk profiles.
• Ensures appropriate data integrity controls over data used in stress testing and scenario analysis processes.
• Provision of financial stress test information, associated analysis and advice to support the CRO and other senior management in making decision in respect of stress test results.

Market Risk

• Contributes to the development, enhancement and implementation of market risk policies and frameworks that are responsive to the Bank’s risk appetite, including establishing and monitoring appropriate scope and scale limits for interest rates, foreign exchange and Treasury investments (primarily banking book).
• Assesses and reports on the Bank’s market risk profile and its compliance with limits and a commentary on This role profile acts as a guide to the role only and additional work outcomes may be required to be performed by the incumbent key developments and trends.
• Supports the Director in the annual refresh of the Internal Capital Adequacy Assessment Process (“ICAAP”), Internal Liquidity Adequacy Assessment Process (“ILAAP”) and Recovery Plan.

Clear understanding and knowledge of:

• IFRS 9 ECL processes and models (prior delivery of IFRS 9 ECL processes) and a strong knowledge of stress testing in a regulated environment.
• Money Market, Fixed Income, Foreign Exchange, and Treasury products, including the relevant settlement processes.
• UK focussed capital and liquidity regulations.

Modelling and Analytics

• Leads the enhancement, annual refresh and implementation of Model Risk Management Framework and associated governance.
• Owns the Bank’s model risk inventory, risk assessment, reporting and oversight of implementation of control standards.
• Responsible for Risk owned IFRS9 models, assumptions, processes and policies and their annual validation.
• Primary contact within Risk to address queries from various stakeholders, internally as well as externally, regarding IFRS 9 ECL.
• Prepares and delivers MI across the spectrum of responsibility on daily, weekly, monthly or ad hoc basis.

Required Experience:

• Relevant experience gained in the Banking industry, ideally in a leading institution.
• Strong analytical and quantitative skills, with proficiency in financial modelling and risk assessment tools.
• Excellent communication and presentation skills, with ability to convey complex information clearly and concisely.
• Ability to work independently and as part of a team, with strong organizational and project management skills.

Interested? Please apply!

Stress Testing Market Risk Modelling Risk Policies Risk Management Frameworks IFRS9 Model Risk Governance Market Risk Manager Market Risk Management Market Risk Director Stress Testing Manager Pillar 3