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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