Job Description

DescriptionPrimary Objective:- Develop and enhance the climate scenario planning and stress test with focus on expected credit losses and capital demand, including methodologies and processes from the risk perspective.- Involve in discussions with the stakeholders, management and regulators on climate stress test related matters.- Development, implementation and enhancement of effective climate risk stress testing infrastructure.
Key Responsibilities:- Develop and enhance the stress testing processes, methodologies and models.- Engage with internal stakeholders to support delivery of the climate risk stress testing.- Develop climate scenario planning/ stress testing capabilities- Conduct assessment of climate risk scenarios, focusing primarily on the execution of stress tests and translation of climate risk scenarios to credit risk projections- Simulate MFRS9 ECL and/or regulatory credit risk capital demand (RWA and EL) projections for the credit portfolios.- Prepare and submit reports for climate risk stress tests for management, board and regulator.- Conduct in depth analysis of climate risk stress test results to identify risk drivers.- Implement and enhance a robust climate risk stress testing system through testing and maintenance of the system.- Develop climate policies and manuals related to climate stress testing- Address any CRR related to climate stress testing.- Support other internal and regulatory stress testing exercisesRequirementsRequirements:
Bachelor Degree - actuarial science, statistics, mathematics, economics, risk management and finance..Minimum of 5 years of experience in financial institution, preferably in risk management and stress testing- Understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches- Understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches- Strong managerial and analytical skills- Solid statistical modeling knowledge- Strong programming skills in Excel, SAS, Python or other advanced languages, in data handling and statistical modeling- Excellent communication skill : Written, Verbal and Presentation Skills- Ability to interact in a professional manner with both external & internal parties- Prior experience in ESG/Climate risk management or broader climate related topics preferredBenefitsDental, Education support, Miscellaneous allowance, Medical, Loans, Sports (e.g. Gym), Parking, Vision, Regular hours, Mondays - Fridays, Casual Business Wear, Performance Based Rewards

RHB Bank