Manager, Stress Testing & ICAAP

Alliance Bank Malaysia Berhad; Kuala Lumpur; On-site; MYR 120,000 - 180,000; Full time

Job summary

Alliance Bank Malaysia Berhad seeks a risk professional to conduct group and entity-wide credit stress testing, ICAAP assessments, and climate risk analysis. You will collaborate with Market Risk, Operational Risk and other lines of business to ensure regulatory compliance and robust risk measurement.

The role emphasizes developing robust quantitative stress test methodologies, enhancing risk tools, and supporting governance through dashboards and reporting to senior management.

Qualifications

• Graduate with 3–4 years of relevant experience in enterprise risk management, stress testing and ICAAP.
• Solid understanding of credit risk modelling and risk analytics.
• Experience with data structures and IT systems used in risk management.

Responsibilities

• Coordinate group/entity-wide stress testing and ICAAP assessments.
• Enhance stress testing tools and align with ESG/CRMSA guidelines.
• Develop climate risk stress testing methodologies and scenarios.
• Prepare monthly Risk Appetite Statement monitoring dashboards.

Skills

Analytical thinking

Communication skills

Interpersonal skills

Programming knowledge (VBA)

Education

Bachelor's degree in a relevant field

Tools

VBA

SQL

Python

R

Job description

Conduct group / entity-wide credit risk stress test to gauge the health of the group/entity’s credit portfolios and capital under stress conditions for both regulatory and ad-hoc purposes, e.g., stress test for budgeting

Coordinate enterprise-wide stress test for both regulatory and ad-hoc purposes through collaboration with Market Risk, Operational Risk, and other LOBs. Ensure that stressed risk measures and results are in line with best practice and meet regulatory requirements.

Conduct regular review and enhancement of bank-wide stress test policy and procedures.

Develop robust quantitative credit stress test methodology to accurately forecast credit losses and rating migration of retail & non-retail portfolios under stressed scenarios/conditions

Develop a bottoms-up credit stress test methodology for non-retail portfolio to enable more granular stress testing to be carried out

Conduct periodic scenario analysis and recovery option simulation for the bank’s Recovery Planning

Enhance stress testing tools and methodologies to cater to evolving requirements and regulatory guidelines

Assist to develop the bank’s climate stress test and scenario analysis methodology and conduct the bank’s Climate Risk Stress Test by 2024 as part of BNM’s industry-wide exercise. Perform research and intelligence gathering to prepare for the implementation of climate related scenario analysis and stress testing.

Internal Capital Adequacy Assessment Process (ICAAP)

Review and enhance the bank’s ICAAP framework to manage capital adequacy in relation to the bank’s risk profile.

Conduct group / entity-wide ICAAP assessment on a quarterly basis to ensure the bank has adequate capital to support the business strategies, operations and growth at all times.

Collaborate with parallel teams / risk units in Group Risk Management to perform annual risk assessment exercise as part of ICAAP; ensure that all material risks faced by the bank are promptly identified and assess whether the changing risk profile affect the bank’s overall capital adequacy as well as the setting of internal capital target.

Conduct ad hoc ICAAP-related assignments, i.e. ICAAP for budgeting / capital planning purposes, as and when required by the management.

Enhance the bank’s ICAAP processes to integrate Environment, Social and Governance (ESG) elements and risks to comply with BNM’s Climate Risk Management and Scenario Analysis (CRMSA) guidelines

• Develop and periodically review Risk Appetite Statement for key entities, business units and material risk areas of the bank
• Periodically review and enhance the bank’s Risk Appetite Framework

Compile and prepare monthly Risk Appetite Statement monitoring in the Risk Management Dashboard

RAROC

Provide analytic support to produce insights related to risk/capital charges and risk return of the Bank’s portfolios.

Assist in enhancing the RAPM methodology (for both pre and post deal components) to improve the accuracy of the Bank’s RAPM measurement.

Maintain and enhance the bank’s pre-deal pricing/RAROC calculator

Other Risk Management tasks

Compile Integrated Risk Management Dashboard and Risk Appetite Statement monitoring dashboard for Group Risk Management Committee & Board of Directors meeting

Assist in the execution of various ad-hoc risk related reporting, assignments and projects to strengthen the Group’s risk management capabilities.

Support the initiatives to comply with the Climate Risk Management & Scenario Analysis (CRMSA), Climate Risk Stress Testing, and other best practices for managing sustainability and climate risk across lines of businesses

Skills

• Possess strong analytical and problem-solving skills
• Effective communication skills both written and oral
• Good interpersonal skills and project management ability
• Familiarity with VBA and SQL/R/Python will be an advantage

Knowledge

• Quantitative and statistical methodologies and techniques in credit risk modelling
• IT systems, credit models and data structure.
• Strong statistical and finance knowledge
• Banking products & laws.
• Best practices in credit risk management.

Experience

• Graduate, preferable with 3 - 4 years of relevant experience in relevant field, for e.g., enterprise risk management, stress testing and ICAAP.

Unlock job insights

Hirer responsiveness Salary match Number of applicants

Alliance Bank Malaysia Berhad and its subsidiary, Alliance Islamic Bank Berhad, offers banking and financial solutions through its consumer, SME, corporate, commercial and Islamic banking. The Bank provides easy access to its broad base of customers throughout the country via multi-pronged delivery channels that include retail branches, Privilege Banking Centres, Business Centres, Investment Bank branches, and mobile and Internet banking.

About Alliance Bank Malaysia Berhad

Alliance Bank Malaysia Berhad and its subsidiary, Alliance Islamic Bank Berhad, offers banking and financial solutions through its consumer, SME, corporate, commercial and Islamic banking. The Bank provides easy access to its broad base of customers throughout the country via multi-pronged delivery channels that include retail branches, Privilege Banking Centres, Business Centres, Investment Bank branches, and mobile and Internet banking.