Assistant Manager at EY
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EY - FSRM - Market Risk Stress Testing (8-12 yrs)
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
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