Expert/Senior Expert, Basel

1. Role Purpose

• Responsible for developing and maintaining the bank's capital risk management framework, including ICAAP, stress testing, capital planning, and risk methodologies aligned with Basel standards, IFRS.
• The role supports the bank's forward-looking risk management capability by developing risk methodologies, and research to proactively identify and manage emerging risks.
• This position also serves as a technical bridge between regulatory capital, internal economic capital, and external rating expectations, ensuring that the bank's capital position and risk profile are robust under various stress scenarios.

2. Key Responsibilities

2.1 Capital Risk Management

• Develop and maintain the bank's capital management framework aligned with Basel II/III requirements.

• Support capital adequacy planning and ensure compliance with regulatory capital requirements.

• Analyze capital implications of strategic initiatives, portfolio changes, and new products.

2.2 ICAAP Development and Maintenance

• Development and maintenance of the bank's Internal Capital Adequacy Assessment Process (ICAAP).

• Design methodologies for assessing material risks under Pillar 2, including:

• Credit concentration risk

• Interest rate risk in banking book (IRRBB)

• Liquidity risk impact on capital

• Strategic risk

• Reputational risk

• Ensure ICAAP integrates:

• Risk appetite framework

• Stress testing

• Capital planning

2.3 Stress Testing Framework

• Develop and maintain enterprise-wide stress testing frameworks

• Build stress scenarios

• Quantify impacts on:

• Capital adequacy

• Profitability

• Asset quality

• Liquidity position

2.4 Risk Methodology & Quantitative Research

• Conduct research to develop and enhance risk measurement methodologies,

2.5 IFRS and Risk Integration – lower priority than other

• Understand and support integration between risk frameworks and financial reporting standards, particularly:

• IFRS 9 Expected Credit Loss

• Provisioning impacts on capital

• Coordinate with Finance to ensure consistency between:

• Risk models

• Accounting provisions

• Capital planning.

2.6 Rating Agency Analysis – optional

• Analyze methodologies used by major rating agencies:

• S&P Global Ratings

• Moody's Investors Service

• Fitch Ratings

• Assess impact of rating-agency metrics on the bank's:

• Capital position

• Funding profile

• Asset quality

• Provide strategic insights to support rating management and investor communication.

3. Qualifications

Education

• Bachelor or Master degree in:

• Finance

• Economics

• Risk Management

• Quantitative Finance – lower priority

• Mathematics / Statistics – lower priority

Preferred certifications:

• FRM (Financial Risk Manager)

• PRM (Professional Risk Manager)

• CFA (Chartered Financial Analyst)

4. Technical Skills

Strong knowledge of:

Risk Frameworks

• Basel II / Basel III

• ICAAP

• Pillar 2 capital frameworks

Quantitative Methods

• Scenario analysis

• Stress testing

• Risk modeling

Financial Reporting

• IFRS 9

5. Competencies

• Strong analytical and quantitative thinking

• Ability to translate complex risk concepts into actionable insights

• Strong research capability

• Strategic thinking and forward-looking risk assessment

• Communication skills for senior management and regulators