To support the Department Manager in developing and updating modelling techniques for the empirical analysis of risks and to carry out high level quality analysis on the potential impact of extreme, yet plausible, shocks to banks and other financial institutions. To liaise and/or work with other Offices within the Department and other relevant Offices within the Bank to reach the Office’s objectives.
Technical / Functional Responsibilities:
- To contribute to the development, calibration and maintenance of existing sensitivity and scenario stress testing models with the objective of identifying vulnerabilities in the financial system.
- To contribute to any proposed policy simulation analysis using the Bank’s tool kit including the need to develop specific simulation tools.
- To develop new quantitative risk and stress testing models for the quantification of vulnerabilities in the financial system, including the non-banking sector, and to carry out appropriate stress/scenario testing and sensitivity analyses in a bid to identify any potential adverse developments that are likely to have financial stability implications.
- To familiarise with the ECB/ESRB and other NCBs’ stress testing models for a better understanding of their models and thus have the ability to compare their methodology and results with the models developed by the Office, with a view to enhance and develop the suite of models within the Office.
- To assist in the interpretation of results of the macro stress tests, and other risk models and discuss these with the other Offices within the Division for the identification of any policy requirements.
- To contribute to the drawing up of reports, analysis and papers as required and to contribute to the preparation and completion of the relevant chapters in the Financial Stability Report and its Interim and in any other internal / external publications.
- To contribute to the work of committees / working groups / task forces both locally and overseas as appropriate and to represent the Office on the ESRB/EBA/FSC committees in areas related to stress testing.
- To prepare documentation and contribute by way of presentations and background analyses as necessary, to the CBM’s Financial Stability Forum, the Financial Stability Committee, the Joint Financial Stability Board and other relevant Committees.
- To provide support to Senior Expert Stress Testing and Risk Models (STRM) and Department Manager, including in ensuring overall correctness of office work and in meeting stipulated deadlines, and to contribute to a team-work-related environment.
- To report on activities undertaken.
- To keep abreast with and adhere to established Policies and Procedures.
- To ensure a high quality / standard of work and service throughout.
- To perform any other duties as may be assigned from time-to-time.
