Manager, Capital Stress Testing

Job Summary

The Capital/Liquidity Stress testing team forms an integral part of the capital adequacy assessment process. The team conducts balance sheet and income statement analysis to come up with projections for Equity, CET1, LCR, NSFR, Survival horizon and and other levels of capital/liquidity metrics, thereby helping to determine the capital/liquidity cushion under various scenarios including economically stress ones. At a PLC level, stress testing exercises are conducted for RPST, BoE, ICAAP. Stress testing exercise is also carried out or supported for markets where the Bank has considerable footprint.

The position is for an Individual contributor role who would be able to understand concepts well, analyze, come up with findings and present the same to the leadership team to arrive at valuable insights, in addition to performing model execution and data extraction. 

Below further outline tasks and responsibilities that could be expected: 

o Deliver on the Balance Sheet & Income Statement projections for the Enterprise-wide Stress Testing (EWST) exercises and accordingly come up with Equity movements and model CET1, LCR, NSFR and survival horizon projections.

o Carry out the movement analysis & narratives for CET1, Tier 1, Total capital metrics

o Carry out analysis on Capital numbers including CET1, Total capital and compare against Basel and reg requirements.

o Carry out the movement analysis on LCR, NSFR, Survival horizon and Trapped liquidity projections.

o Carry out the Severe Liquidity stress test scenarios and analyse projections based on the changes in the P&L and Balance Sheet

o Carry out analysis on Capital numbers including CET1, Total capital and compare against Basel and reg requirements

Ensure compliance to EWST procedures, methodologies, and controls.

Manage all governance related aspects of the execution of stress testing

Drive process improvements and best practices for more efficiency and productivity

Support development and maintenance of underlying models to enhance stress testing methodology.

Deliver adequate documentation on stress testing methodology subject to management, model validation, audit & regulatory scrutiny.

Deliver on the operational risk framework for the stress test process.