Head, Climate Risk Stress Test
Location: Kuala Lumpur
- Oversee the team in the climate scenario planning, the development and enhancement of the climate stress test with focus on expected credit losses and capital demand, including methodologies and processes from the risk perspective.
- Lead and coordinate the discussions with the stakeholders, management and regulators on climate risk stress test related matters.
- Development, implementation and enhancement of effective climate risk stress testing infrastructure.
- Provide overall direction for the development and enhancement of climate risk stress test.
- Maintain appropriate engagement with internal stakeholders to support the delivery of the climate risk stress testing.
- Develop climate scenario planning/ stress testing capabilities
- Develop and enhance the climate risk stress testing processes, methodologies and models. • Review the assessment of climate risk scenarios, focusing primarily on the execution of stress tests and translation of climate risk scenarios to credit risk projections • Direct the simulation of MFRS9 ECL and/or regulatory credit risk capital demand (RWA and EL) projections for the credit portfolios.
- Review the reports for climate risk stress tests for management, board and regulator.
- Oversee the analysis of climate risk stress scenarios and results to identify risk drivers
- Review climate policies and manuals related to climate stress testing
- Develop a robust climate stress testing system and oversee the testing and maintenance of the system.
- Manage the team with respect to CRR related to climate stress testing.
- Work with Head of Integrated Stress Test on support and completion of the internal and regulatory stress test.
- Relevant degree in actuarial science, statistics, mathematics, economics, risk management and finance
- Preferred level of Experience (by years/function/industry):
- Minimum of 8 years of experience in financial institution, preferably in risk management and stress testing
Other skills required:
- Strong understanding of Basel IRB models, Stress Testing and MFRS9 models and approaches
- Strong understanding of BNM requirements especially on climate risk stress testing.
- Strong understanding in credit risk factors for retail and non-retail portfolio.
- Strong managerial and analytical skills
- Strong statistical modeling knowledge
- Strong programming skills in Excel, SAS, Python or other advanced languages, in data handling and statistical modeling
- Strong project management skill
- Excellent communication skill : Written, Verbal and Presentation Skills
- Prior experience in ESG/Climate risk management or broader climate related topics preferred.