AVP - Scenarios Stress Testing - Bank

An exciting opportunity to join the Scenarios Stress Testing Team within CRM. The team is responsible for developing and enhancing current stress testing framework and methodology as part of the counterparty credit risk team, as well as analyzing the portfolio of the bank. The team analyzes the overall counterparty credit risk / exposure of the bank for various scenarios and implements various internal and regulatory methodologies to compute scenario exposures.

The role / responsibilities would include:

- Develop and enhance current stress testing framework and methodology and ensure they are compliant with regulators and appropriate for internal risk management

- Actively participate in the IMM gaps remediation work to improve current stress testing methodology in particular Scenario RWA

- Driving Regulatory framework changes relating to Stress Testing; working closely with Business and Senior Management to ensure fit for purposes methodologies for key portfolios of interest.

- Design methodology to calculate scenario exposure for both the trading and banking books in the context of LPA, ICAAP, and IWST.

- Manage key stakeholders (e.g. Senior Management, Credit Risk Managers, and Enterprise Risk Management) by answering their requests, assuring an efficient cooperation within different departments, maintaining a strong communication and by explaining at a suitable level movements and drivers of the various models and approaches used within Counterparty Credit Risk.

- Support the strategic scenario infrastructure initiative; define and document business requirement for counterparty credit risk stress testing for strategic implementation

The new hire should be able to communicate the risks of a trade or a portfolio in a clear and concise manner (both written and orally). Key clients of the Scenarios Execution team are Credit Risk Management (CRM), Front Office and Regulators. We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.

Interested candidates must be able to demonstrate the following qualifications and competencies:

- Strong technical skills, thorough knowledge of credit risk and derivative products with relevant banking/financial products experience

- Bachelors or Master's degree in quantitative or relevant discipline preferred

- A good understanding of external regulations and their impact on stress test methodologies and business portfolios

- Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++, etc.) is an advantage

- Good analytical problem solving skills in a banking, financial markets or consulting environment.

- Strong verbal and written communication skills, with an ability to explain analytical issues and synthesize complex analyses in a form that is appropriate for management interactions

If you find it is suitable then please send me your updated CV with below detail :

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Tejashree Waradkar
Mobile Number : +91- 8454843560