AVP - Capital Planning Analytics

Bank ABC seeks to recruit an AVP – Capital Planning & Analytics in the Group Balance Sheet Management Department based in our Head Office, in Bahrain.

The AVP – Capital Planning & Analytics will be responsible for the below:

• Capital forecasting and monitoring of capital position.
• Support monitoring and forecasting of regulatory capital adequacy ratios. Recommend actions for RWA optimization.
• Compute rating agency metrics based on rating agency methodologies (S&P RAC ratio, Anchor rating, Fitch OES, Fitch Solvency Ratio).
• Assist in the development of Group ICAAP including stress testing.
• Support/Guide Units in development of Subsidiary ICAAPs and RPs.
• Assist in the development of Group Recovery Plan (RP).
• Compute IRRBB based on the repricing profile from Finance. Review results and recommend actions, if needed.
• Support analytics on FX hedging, and other ad-hoc items.
• Manage web based RAROC calculator for the Bank.
• Review deal RAROC and respond to RMs queries on deal structuring and RAROC modelling
  
  

Responsibilities of the role:

Reporting to the VP, Capital Planning & Portfolio Analytics, the job holder will be required to:

• Support to maintain and manage the Bank's capital management framework that governs the Bank's capital goals, targets and actions in line with internal & regulatory requirements.
• Support the Bank’s Capital Planning process to include the following:

• Capital assessment (capital adequacy requirements in line with minimum regulatory and internal capital requirements);
• Capital projections: prepare base case capital projections over the planning horizon including impact of strategic assumptions;
• Assess emerging capital needs arising from regulatory changes, economic trends and other factors
• Capital actions: define options to address both capital short falls (e.g. revisions to dividend payout) and capital raising (e.g. issuance of equity capital) resulting from business plans/projections, portfolio rebalancing and strategic decisions;
• Monitoring and reporting on the progress of selected capital actions associated with business and/or risk requirements; Internal Capital assessment process (ICAAP) and Stress Testing
• Work with Group Credit & Risk (GC&R) on the development and maintenance of ICAAP, specifically on stress scenarios and associated capital requirements.
• Assist GC&R in the formulation of appropriate stress assumptions – both idiosyncratic and macro-economic.
• Assist stress testing linked with Internal Capital assessment process (ICAAP) and Capital Plan.
• Manage the periodic submission of ICAAP to Central Bank of Bahrain (CBB)
• Ensure scenario modelling and sensitivity assessment of impact on capital considering stress tests.
• Work with GC&R to bring results of integrated stress testing to assess impact on capital as an input for capital planning and management Capital Management.
• Monitor capital related KPIs (e.g. CAR, leverage ratio etc.) and report any breaches to Head of GBSM.
• Undertake expected loss projections and assess its impact on capital on a BAU basis and its impact of model risk.
• Manage the RAROC system used for deal appraisal. Keys tasks include the following:
• Periodic update of the risk parameters like (PD, LGDs, Country risk ratings etc.) to ensure all parameters are up to date.
• Assist RMs with functional support required for RAROC modelling and deal structuring.
• Periodic training of RAROC system to new RMs in all units of the Group
• Maintain and manage the IRRBB Pillar 2A calculation models.
• Measuring, monitoring and reporting of Group IRRBB (EAR and EVE) to senior management
• Provide functional expertise in the data gathering and implementation of basis risk calculations as part of IRRBB enhancement.