Job Description:
(primary responsibilities,
reporting structure,
career path...) |
Background:
Portfolio Risk Management (“PRM”) is, within the Risk Management, HR & Nuclear Safety Vice Presidency, the quantitative group responsible for the Bank-wide identification, measurement, monitoring and mitigation of portfolio based market and credit risks. PRM is currently participating, with the help of external consultants, in the design and implementation of a new risk engine as part of a major “Risk Management Systems Project” (“RMSP”). The integration of market and credit risk modelling is one of the major features of this project.
Within PRM, the Exposure and Portfolio Risk Group’s (“EPR”) focus is on the quantification of credit risk (both at the individual counterparty level – PFE calculation – and at the portfolio level – credit VaR – ), economic capital modelling, and risk-return analysis. While the focus of the systems currently used by the EPR Group is on Treasury credit risk, the aim of the RMSP is to conceive, implement and use a new, Bank-wide, exposure modelling and portfolio risk system, thereby also encompassing the risks from the Bank’s activities in the Countries of Operations.
The products handled include the whole range of interest rate, foreign exchange and credit instruments available in the financial markets, with a strong bias towards sophisticated instruments and over-the-counter derivatives, thereby involving non-trivial risk measurement work.
Key Responsibilities and Deliverables
• Key participation in the development of the Bank's new portfolio credit risk measurement system.
• Portfolio credit risk:
• Participation in the development of the methodology, model assumptions and input parameters, for a new portfolio credit risk system.
• Participation in the regression analysis required for the calibration of a correlation model based on macroeconomic time series.
• Measurement of portfolio credit risk (credit VaR) on the Banking and Treasury portfolios once the new systems are in place.
• Analysis and reporting of credit VaR and the various risk measures, with a particular emphasis on the assessment of correlations and concentrations in both portfolios as well as the combined portfolio.
• Portfolio credit risk stress tests
• Conception, design and implementation of a portfolio stress testing framework, allowing sensitivity analysis and stress testing scenarios.
• Economic capital
• Measurement of bank-wide expected and unexpected losses.
• Determination of economic capital and provisions.
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