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Principal, Stress Testing

EBRD

London, United Kingdom

Risk Management is the EBRD’s second line of defence, which is responsible for the independent identification, reporting and mitigation of credit, equity and market risks. Stress testing is one risk management tool used by EBRD management to ensure robustness of the Bank’s AAA credit rating. The EBRD is not regulated.

The Stress Testing Principal Risk Manager organises stress testing, reporting into the Director and ultimately to the Risk Committee and the Audit Committee. The annual stress test is carried out with a top-down model based approach while the country or regional stress tests are bottom up. Both exercises involve working with colleagues in a number of departments: economists, risk modelling specialists, credit risk officers, banking country heads, sector portfolio managers, finance and strategic planning (and others where needed).

Manage the EBRD’s stress testing programme which consists of the following main processes: (i) an annual stress test on the EBRD’s entire balance sheet and forward looking strategic plan; (ii) several country or regional stress tests, carried out together with portfolio reviews; (iii) updates of historical stress test relevance in case of negative market developments. Communicate results and recommendations for the EBRD’s broader strategic decision-making to management. Maintain good knowledge of stress testing practices and drive constant process upgrades.

Accountabilities & Responsibilities

The Stress Testing Principal Risk Manager will work under supervision of the Director on the following inter alia:

Organisation and production of an annual stress test of the EBRD’s full balance sheet through development of economic scenarios (with in-house economists, political analysts and country risk), modelling of debt and equity portfolio losses (with the Bank’s market risk and capital modelling teams), analysis of results, consideration of strategic recommendations and presentation of the exercise to senior management.
Organisation and production of country and regional stress tests, carried out together with portfolio reviews. Work includes: cooperation with economists and country risk to develop economic scenarios and with Credit and Equity risk teams as well as Banking portfolio managers and country local offices to consider the impact of scenarios on individual counterparties and broader sectors. Analysis and presentation of results along with portfolio actions if appropriate.
Ad hoc updates to recent stress tests at times of market stress to consider the relevance
Maintain knowledge of the Bank’s broader business model, portfolio drivers, capital, risk and financial policies.
Maintain knowledge of current market best practice in stress testing to apply it to the Bank’s processes for constant improvement.
Develop stress testing governance processes.

Knowledge, Skills, Experience & Qualifications

Experience managing top-down and bottom-up stress testing, typically at a commercial bank, insurance company or financial regulator.
Knowledge of standard vanilla treasury and emerging markets products as well as financial markets.
Capability of delivering clear conclusions in the context of poor data environments.
Strong written and spoken communication skills.
Degree in finance, business, economics or equivalent on the job training.


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