Vice President, Regional Advanced Risk Modelling MY

Job DescriptionClimate Risk ModellingQuantify the Bank’s exposures to climate change and their potential losses arising from physical and transition risks.Support the Bank’s capacity building in modelling and measuring climate-related risks as part of its overall climate risk management tools.Maintain climate risk models to ensure they remain fit for purpose.Model transmission channels from climate transition and physical risk to credit risk using climate scenarios.Understand and translate transmission levers of climate risks into financial system impact.Provide support to model users on the use of climate data and scenarios for risk assessment.Support interactions with senior stakeholders on climate risk topics including regular reporting and updates.Lead interactions with internal and external stakeholders regarding model validation, approval, implementation, and monitoring. Understand NGFS, IPCC, and IEA scenarios and how they impact the Bank.Support stress testing functions involving climate risk.Additional ResponsibilitiesDevelop stress testing models for portfolio projection and regulatory reporting.Lead interactions with internal and external stakeholders regarding model validation, approval, implementation, and monitoring. Any other tasks as specified by the Head of Non-retail, Climate Risk, & Stress Test Modelling, including development of credit risk models and relevant ad-hoc analysis.