Key responsibilities
- Support the ongoing delivery of ICAAP and other regulatory Stress testing initiatives.
- Regional point of contact for Risk and Stress Testing models and explain key model mechanics and methodology to a non-technical audience, which may include portfolio risk managers, senior management, regulators, and/or auditors.
- Provide analytical support to risk specialists in developing stress testing, including further integration of stress testing in Risk Appetite and decision making.
- Support the Regional Stress Testing team in evaluating Legal Vehicle Stress Testing risk controls and frameworks.
- Assist with information requests from German Supervisory Authorities, European Central Bank, External Auditors, and Internal Audit.
Experience
- Experience in mathematical modelling and understanding of models that are used across different risk types in ICAAP and/or EBA Stress Testing, in particular Credit & Market Risk models in the context of Pillar 1 and 2.
- Experience in analytics and explanatory documentation for regulatory capital planning/regulatory risk requirements such as ICAAP or EBA Stress Test.
- Expertise in the EU banking regulations.
- Experience in presenting to senior management.
