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Stress Testing / Scenario Analysis

9.00 to 12.00 Years   Mumbai City   08 Apr, 2019
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
Industryecruitment Services
Functional AreaStatistics / Analytics
EmploymentTypeFull-time

Job Description

This role will comprise the following key responsibilities:

  • Lead the EMG Mumbai team to ensure objectives are met according to business requirements and in line with the values of the bank.
  • Own the daily EMG Stress Testing risk validation process to ensure regulatory and business requirements are met. This may require to perform investigation into a wide range of production issues as an individual or as part of a team.
  • Support regular quantitative analysis like backtesting or recalibration for internal margin methodologies.
  • Potential to support IM / PFE / VaR calculations for live transactions and specific portfolio analysis. This may involve working with existing spreadsheet tools or setting up customized tools which use the bank s internal pricing models
  • Potential to engage further in CCR RWA analysis and optimization
  • Liaise with other areas of the bank, in particular Credit Risk, Market Risk and Front Office
  • Review and Validate Daily / Monthly Stress Test Reports to be used by senior EMG and CRM Analysts
  • Document new processes and procedures relating to Stress Testing
  • Communicate updates and results to senior management within Risk and the Business
  • Support in production of material to be distributed to regulators
  • Define reporting requirements in conjunction with other Risk teams and Front Office partners
  • Participate in bank wide working groups and committees
Desired Candidate Profile
  • Strong mathematical and statistical background
  • Good understanding of VaR concepts or EPE/PFE, valuation and margining approaches and methodologies
  • Good knowledge of rates, FX, commodities, equities and credit business areas and products
  • Understanding of risks both on trade and portfolio level
  • Good analytical skills, able to demonstrate flexibility regarding problem solving
  • Ability to work in fast paced environment
  • Advanced knowledge in MS Office (Excel, Access and VBA in particular)
  • Experience in use of Relational Databases and PL/SQL (Fundamentals)
  • Open minded, able to share information, transfer knowledge and expertise to team members.
  • Excellent communication, both written and oral
  • Good team-working & team management skills
  • Comfortable working across different time zones.
Salary:25 Lac - 30 Lac,

Keyskills :
msofficeteammanagementsqlcommunicationinvestigationmarketriskcashmanagementequitiesvaluationmanagementlsqltfolioanalysis

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