Manager - Stress & Scenario Calibration - BFS

Manager - Stress and Scenario Calibration

SSC is a key central role, and drives the inputs to risk calculation models used for market risk and credit risk calculations globally. Central to this role is the management of market data used to generate the model calibration. In addition, the role is expanded to include the critical area of Market Risk Stress Testing.

Responsibilities Overview

Quality and Control

- Deliver quality market data for risk factors and scenario data relevant for risk calculations and improve transparency for risk management

- Manage market data validation system (Asset Control) and Tiger Scenario Engine which feed scenarios to the downstream Risk Engines such as ValServer, Raven, SummitVaR, etc

- Provide analytics to support the calibration of models. Generate and distribute relevant regular management information (MIS) with detailed explains

- Investigate and close data validation exceptions

- Support data queries from various stakeholder teams

Change and Analytics :

- Support functional enhancements to Tiger Scenario Engine and Asset Control

- Methodological improvements in risk factor/scenario generation

- Data quality improvement focused on reduction in risk based capital charge

Requirements :

- Looking for a candidate with 5-7 years of work experience in Market Risk / Credit Risk domain preferably with a bank

- Candidate should have a good knowledge of Value at Risk models, market risk and a good understanding of financial instruments

- Prior experience in time series analysis would be a preferred

- Basic to advance understanding of Asset Control would be preferred

- Candidate should have good communication skills with a proactive approach & ability to work independently

- Candidate from reputed institutes are preferred - should have engineering background with PGDM / MBA

- Candidate should be at expertise level with MS Excel and should also have a coding knowledge VBA or otherwise.

- Professional certification like FRM / CFA can be an added advantage