EY - FSRM - Market Risk Stress Testing

Responsibilities :

- Lead and manage a team of 4-7 people (further growth possible)

- Hire and train staff

- Responsible for staff development

- Stress Testing execution

- PST Dual Framework (weekly Scenarios)

- IRRBB EVE Scenarios (Monthly)

- Group Wide Stress Testing Scenarios (2 x Quarterly + Reverse Stress Test Annually)

- Regulatory Scenarios

- Ad hoc Scenarios

- PST methodology development and enhancements

- Analyze stress P&L and develop necessary tools to facilitate more efficient analysis of risk, including testing and sign off stressed P&L impact analysis

- Documentation of calculation approaches and results including input, calculation assumptions, outputs, explanation of delta changes etc

- Portfolio Risk analysis

- Identify the top and emerging risks each week, including sourcing the relevant information from MRA, MRC and the business MRMs

- Summarize key changes in all portfolio metrics in a manner suitable for senior management consumption; this will involve working closely with MRA and business MRMs.

- Perform deep dive analysis into concentrations of risk or emerging items of interest, providing high quality and accurate information at a level for senior management consumption.

- Review and understand the historical simulation VaR, including staying abreast of the development of this metric

- Perform analytical analysis to generate proposals for limit changes and for new limits.

- Develop necessary tools to facilitate more efficient analysis of risk

Candidate Requirements :

- A graduate and/or post graduate degree in quantitative finance, mathematics, physics, engineering or a similar field of study

- Strong quantitative skills including financial risk models and derivative pricing theories

- Solid experience in using large datasets and applying market risk methodologies across different product/asset classes

- A high level of understanding of risk management methodologies is critical, both VaR, EC and Stress Testing

- Strong financial market and product knowledge, including derivatives, across all asset classes

- High professional and ethical standards

- A 'can-do' attitude and a delivery focus