Key Responsiblities & 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. •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. •Contribution to the enhancement of the methodology used for credit value-at-risk and stress tests, both exposure and potential loss-based. •Contribution to the selection of parameters used in ABS cash-flow models. 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.
Is this for you? Find out more and click on Protected content for more details.