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07/04 Leena
Consultant at Black Turtle

Views:2502 Applications:22 Rec. Actions:Recruiter Actions:8

Econometric Modeler - BFSI (6-9 yrs)

Mumbai Job Code: 439010

Role:

Quantitative Scenario Generation

Business Function:

Enterprise Risk Management

Reports to:

Head of Scenario Analysis Business Division:

Enterprise Wide Risk

Deliverables:

- Address macroeconomic questions using quantitative techniques.

- Development of multi dimensional stress scenario engine using macroeconomic, statistical/mathematical techniques.

- Provide views on current economic outlook, communicate macro developments verbally/presentations.

- Communicate with key stakeholders rationale for scenario profiles linking with intuition, economic theory, current economic environment.

- Liaise with Senior Risk, Finance, Treasury representatives to discuss stress scenario themes, narratives, parameterisation & revise stress test library.

- Support development of structural models, statistical models/tools.

- Support production of fully parameterised macroeconomic scenarios for assessing capital adequacy, and testing risk appetite setting for businesses and the bank.

- Design & develop clearly articulated Senior Executives & Board scenario communication pack illustrating rationale for selecting stress scenario, scenario profile & severity and parameterisation.

- Support development of scenario severity assessment tools & parameterisation methodology/approach and develop documentation.

- Support strategic stress scenario generation initiatives, as and when required.

Experience/ Qualifications:

Essential

- The candidate sought will be an econometrician/macroeconomist with quantitative focus from a think tank, consultancy firm, international organisation, central bank, bank, buy side or sell side firm.

- Master's Degree or PhD in quantitative subject such as Economics/Econometrics, Mathematics, Statistics.

- Strong grasp of macroeconomic theory and applied econometrics especially time series. Proficiency with Eviews and good knowledge of Matlab a plus. Strong programming or VBA skills

- Proven experience understanding and quantifying impact of major global macroeconomic risks.

- Strong quantitative skills in Economics or econometrics

- Some familiarity with structural models, such as NIGEM, or DSGE models desirable

- Strong competence in both Macroeconomic Theory and Time Series Econometrics (VAR, Cointegration

- Experience in advanced statistical modeling and coding in one or more of the following environments: SAS or Matlab; VBA, Gauss, or Stata also considered.

- Analytically minded with good financial and business acumen.

- Excellent communication and interpersonal skills

- Understand and interpret complex business requirements.

- Familiarity with large datasets

- Experience in economic research, consulting and/or forecasting - regional coverage desirable UK/Europe/US/APAC

Desirable

- Regulatory experience would be an advantage but not essential

- Hold a degree in quantitative discipline such as Economics, Financial Economics, Econometrics, Finance/Accounting.

Other Significant Role Requirements:

- A strong verbal and written communicator,

Scope of Role:

The Scenario Generation Manager will interface with the following stakeholders or parties (Internal or External)

- Enterprise Wide Risk Management team

- Scenario Analysis team

- Other STARC teams (Execution, Process & Control, Analytics)

Technical Knowledge:

- Experience in advanced statistical modeling and coding in one or more of the following environments: SAS or Matlab; VBA, Gauss, or Stata also considered.

- Strong competence in both Macroeconomic Theory and Time Series Econometrics (VAR, Cointegration

- Strong grasp of macroeconomic theory and applied econometrics especially time series. Proficiency with Eviews and good knowledge of Matlab a plus. Strong programming or VBA skills

- Ability to deliver end-to-end project execution with minimal supervision and under significant time pressure

- Working knowledge of economics, development of stress scenarios and understanding of econometric techniques.

People Management:

- N/a

Financial Management:

- N/A

Risk Management:

2nd Line of Defence

- Actively consider the inherent, material risks of the business/ organisation. They should analyse the risk profile and seek confirmation that the risks are being appropriately identified. Assessed and mitigated to the desirable level (Risk Appetite).

- Establish and deploy robust risk and control frameworks which meet the strategic needs of the group, including communication, training and awareness.

- Provide Expert support and advice to the business on risk management. This includes interpreting and complying with the risk policy standards and risk management framework.

- Conduct suitable assurance to ensure 1st line compliance with policies/ responsibilities.

- Provide senior executive with relevant management information and reports, escalate concerns where appropriate.

Conduct Risk

To be accountable for ensuring you understand, uphold and promote the Conduct risk standard pillars:

- Employee Conduct

- Corporate Conduct

- Market Conduct

- Conduct towards our customers

- Operating Disciplines and Controls: Establish and maintain operations, controls, risk assessments and assurance programmes, monitoring of risk and controls to identify, assess and manage any material risks which may arise.

- Risk Culture: Set the tone from the top by promoting appropriate business and risk aware behaviours and requiring compliance with all statutory and regulatory requirements and Group policies

- Business Continuity: Ensure adequate Business Continuity plans are maintained and tested for Risk Substantiation and wider Enterprise Risk Management team.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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