We are looking out for candidates who are having exposure Securitized products Like ABS,MBS,CDO/Securitized Products Pricing/RMBS/developing cash flow engine/stress scenarios for a leading investment bank in Mumbai

Job Description :

Role: Securitisation Stress Testing Manager/Associate

Purpose of the role:

Deliverables:

- Delivering the execution of budgetary and strategic planning cycle stress testing and regulatory stress tests (PRA, EBA etc.)

- Undertake comprehensive analysis on securitisation throughout the firm-wide stress testing cycle, and hold early discussions with relevant SMEs, on specific features of each stress scenario and its outcomes.

- Connect the inputs, scenario and results, and support the preparation and delivery of a firm-wide stress test to the Head of Stress Test Execution.

- Supporting firm-wide stress testing and ensuring it accurately presents results for the required scenario, including conducting and assessing stress losses and Risk Weighted Assets & management actions

- Determine model requirements to deliver prescribed stress tests; In collaboration with securitisation stress test model development team requirements.

- Participate in dialogue across three lines of defense on stress methodologies, results and evidence deliverables in relation to securitisation.

- Support the delivery of challenge and results communications packs to Bank Board and various senior Risk and Business stakeholders.

- Work with businesses and SMEs to drive consistency of methodology and assumptions in relation to securitisation.

- As required, support other regulatory reporting requests from the FSA, EBA, Fed, US-SEC etc, and ensure consistency of inputs and results to stress testing and existing regulatory reporting deliveries.

- Review and challenge methodologies, parameter calibrations, market risk factor mappings and results.

- Document results, methodology explanations and key drivers for senior management, the Board and regulators.

- Cultivate a close level of interaction with senior risk managers to drive delivery and ensure buy-in.

- Own and maintaining all relevant documentation.

- Ensure data sets are maintained using advance statistical/modelling tools and ensure accuracy of data reconciliation to annual accounts and regulatory returns.

Experience/ Qualifications:

Essential

- 2+ years professional experience in risk management or in a Banking environment

- Experience in financial modelling and analytics.

- Possess significant knowledge of stress testing methodologies for AFS, Trading Book, and Securitisation.

- Possess knowledge of cross-risk disciplines (Market Risk, AFS, Securitisation, Operational Risk, etc).

- Deep understanding of external regulations and their impact on Regulatory Capital methodologies and business portfolios.

- Practical experience in macro prudential stress testing exercises such as EBA and CCAR in the areas of trading book, AFS, fair value through P&L, Reserves, Sovereigns and Securitisation.

- Strong verbal and written communication skills, with the ability to explain complex issues to a wider audience.

- Proven capability coordinating large, complex and disperse complex projects.

- Strong interpersonal skills with the ability to influence liaise and interact with several levels of management.

- Strong organisational skills, able to focus on different pieces of work concurrently and to deliver to tight timescales.

Desirable

- Good understanding of the Basel II/III framework

- Membership of a relevant professional institute, e.g. Chartered Financial Analyst, Institute of Risk Management

- Financial Risk Manager (FRM) certification

- Membership of the Chartered Institute of Bankers

- Postgraduate business or management qualification e.g. MBA

Other Significant Role Requirements:

- A good understanding of stress testing, credit risk, market risk, and its processes.

- Understanding of Bank stress testing infrastructure

- 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

Technical Knowledge:

- Significant experience in determining and undertaking stress testing concepts

- Experience of risk management within complex business functions

- Experience in the adaption and embedding of capital analytics and communicating capital outcomes to stakeholders

- People Management

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