Detailed Description

Measurement

1.1

Ensure compliance, strengthen forward-looking strategies, and provide risk analytics and support enterprise decision-making by implementing Regulatory Stress Testing (quarterly to BoN and monthly internally), Credit Risk Stress Testing (monthly), Liquidity Risk Stress Testing (monthly), Market Risk Stress Testing (monthly), and Integrated Stress Testing (semi-annually).

l  Regulatory compliance.

l  Internal decision support.

1.2

Build and run stress-test models and develop required quantitative models. Manage data and design scenarios (interest rates, exchange rates, GDP).

l  Accuracy and reliability methods.

l  Methodological soundness.

1.3

Analyze portfolio vulnerabilities based on identified stress events that could adversely impact the bank’s performance.

l  Equity and debt markets, etc.

1.4

Propose risk mitigation actions to the Head by developing strategies to mitigate potential financial distress and improve the Group’s resilience against identified stress situations.

l  Enhanced risk mitigation.

1.           

Cross-functional Collaboration

(Weight:    %)

Detailed Description

Measurement

2.1

Collaborate cross-functionally to ensure integrated stress testing that supports ICAAP, ILAAP, ALCO, capital planning, and early warning frameworks.

l  Compliance with regulatory requirements.

2.2

Foster partnerships with risk management product owners, finance, treasury, and technology product owners to integrate stress-testing insights into strategic decision-making processes.

2.3

Have regular discussions with the PRO to ensure the modeling is on track and sufficient for their needs.

2.           

Regulatory and Management Reporting

(Weight:    %)

Detailed Description

Measurement

3.1

Ensure and contribute to all relevant reporting (templates, creating reports) that contain the necessary information for the report/data needs. Assist the Head and quantitative analysts as required.

Accuracy, reliability, timeliness. 

3.2

Create ad hoc reports and conduct ad hoc data extractions as needed in a timely and professional manner.

3.           

Model Calibration and Enhancement

(Weight:    %)

Detailed Description

Measurement

4.1

Continuously assess and enhance stress testing processes, tools, and methodologies; construct scenarios, produce relevant frameworks, and translate various outputs into the balance sheet and income statement of the Bank.

l  Increase efficiency, accuracy, and effectiveness.

4.2

Identify weaknesses in Group and subsidiary systems, as well as the causes of the identified weaknesses.

4.           

General / Administration. 

(Weight:    %)

Detailed Description

Measurement

5.1

Respond to queries such as workflow automation, credit department reports and measurements, and warning triggers.

5.2

Assist in the development and maintenance of relevant policies and procedure manuals, formalizing model risk management activities based on good business practices and existing supervisors' expectations. Keep up to date with developments in the field and contribute toward improvements.