Job Description
Company Description
FAB, the UAE's largest bank and one of the world's most secure financial institutions, is dedicated to creating value for its employees, customers, shareholders, and communities. Through innovation, agility, and differentiation, FAB is committed to fostering growth.
FAB GBS India is looking for top talent and your success is our success. Accelerate your growth as you help us reach our goals and advance your career. Be ready to make your mark a top company, in an exciting and dynamic industry.
Job Description
Job Purpose:
The candidate would play a key role in the Portfolio Capital Management, Basel & Risk Analytics team with the Group Risk function and would be accountable for providing support in the Regulatory and Internal Stress testing exercises of the bank. The candidate would be required to liaise with various internal and external stakeholders for the same. Further, it is expected that the candidate is well versed with local and international guidelines pertaining to Basel and Stress testing as well as have good working knowledge of R and Python to carry out the BAU and automation activities.
Key Accountabilities:
Regulatory and Internal Stress testing
- Regulatory - FSU Stress testing computations
- Perform the Credit Risk Stress testing computations as per the CBUAE guidelines
- Coordination with relevant stakeholders regarding FSU Stress testing inputs
- Perform variance analysis explaining reasons for the variance
- Preparation and update of CBUAE Stress testing templates for submission
- Liaise with external auditors for any queries pertaining to computations and for completion of external validation
- Liaise with regulatory examiners for clarifications of any queries pertaining to computations as well as for required approvals to proceed with the stress testing exercise
- Internal Pillar II & Stress testing computations
- Perform computations of capital charges under Pillar II including but not limited to the below:
- Foundation IRB (F-IRB) Approach for Credit Risk
- Market Risk and Operational Risk Internal Assessment
- Name, Sector and Geography Credit Concentration using different methodologies
- Compliance risk etc.
- Perform stress testing computations under multiple idiosyncratic, macro-economic & reverse stress test scenarios
- Perform the CRWA and Credit Risk Stress testing computations as per the internal approved methodology and under different idiosyncratic, macro-economic and reverse stress test scenarios
- Perform variance analysis explaining reasons for the variance
- Coordination with relevant stakeholders regarding inputs
- Preparation and sharing of relevant details with regulators and internal / external auditors and assist in addressal of related queries
Pillar II & Stress testing Automation
- Understand and execute the existing R / Python Codes used for Pillar II & Stress testing
- Work towards identification of opportunities for continuous improvement and further automation of the existing processes by development of new codes using R / Python
- Review and update existing Pillar II & Stress testing models as well as develop new models in line with best practices and international and local regulatory guidelines
MIS Reporting & Impact Assessments (QIS)
- Preparation of Stress testing analysis by business segments, products and other dimensions as required by management
- Liaise with other business units in obtaining necessary datasets required for the preparation of any adhoc analytical reports for submission to Senior Management
- Perform thematic / ad-hoc stress testing as per internal requirements in liaison with Credit and other units
International Locations Support
- Share the Pillar II & Stress testing extracts with the international branches and subsidiaries for their consumption as per requirements
- Guide the branches in the usage of the extracts and models as well as review their ICAAP / Stress testing submissions
Cross-Functional Support
- Assist in reporting as well as presentation requirements pertaining to Internal Capital Adequacy Assessment Process (ICAAP) as and when required
- Assist in reporting as well as presentation requirements pertaining to Recovery and Resolution planning (RRP) as and when required
Qualifications
Minimum Qualifications:
- Working knowledge and certifications in R / Python required
- Post Graduate degree in Business / Finance / Statistics preferred
Minimum Experience:
- 4-6 years in a financial institution / consulting firm with at least 2-3 years of Stress testing and R / Python experience
Knowledge, Skills, and Attributes:
- Local & international regulations for Basel
- Local / International regulatory requirements pertaining to Stress testing
- Working knowledge of R / Python
- Excellent numeracy and accuracy
- Exceptional analytical skills
Job Details
- Job Location
- Bengaluru India
- Company Industry
- Other Business Support Services
- Company Type
- Unspecified
- Employment Type
- Unspecified
- Monthly Salary Range
- Unspecified
- Number of Vacancies
- Unspecified