Stress Testing - Scenario Generation - Gurgaon [Economics Background]

Purpose of the role :

Key responsibilities of the role holder are :

Scenario Development - Macroeconomic & market risk :

- Support in Macroeconomic and market risk stress scenario design, development & parameterization through quantitative techniques & qualitative assessment for the purposes of internal stress tests.

- Support enrichment of regulatory macroeconomic and market risk scenarios for Bank of England and EBA stress tests including parameterization, narrative writing & interpretation, validation & bench-marking.

- Support in the developing methodologies & approach to support parameterization (including scenario severity & profile) of internal & regulatory stress scenarios using analytical & qualitative techniques.

- Support revision & development of internal stress scenario library through economic research and collaboration with internal & external experts.

- Support review & challenge of stress scenario results & validate output.

- Support enhancement of enterprise-wide scenario generation process within the bank.

- Support development and review/challenge of market risk factors.

- Support bank's vulnerability assessment process through identification of potential weaknesses in portfolios, strategies & business models & its linkages with stress themes

- Support conduct second and third order impact assessment of stress scenarios on portfolios and identify amplification mechanisms that may create losses & revenue impacts.

- Support the assessment, support deep-dive analytical reviews and cross-business/portfolio diagnostic work to identify and evaluate underlying risk.

- Support in developing executive & senior management communication packs during stress test execution & end-to-end stress testing process

Deliverables :

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

- Support scenario narrative development, utilise quantitative techniques to support the parameterisation, development of scenarios.

- Support review & challenge scenario parameters as generated by scenario generator engine.

- Support review, challenge & validate market risk factors, provide narrative & review & challenge market risk stress test results.

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

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

- Interaction with Senior Business Risk Specialists and Risk Senior Management to drive delivery & challenge methodologies; assumptions, outcomes and implications of results, as required.

- Deliver minimum bi-annual vulnerability assessment undertaken across the bank and businesses, multi-functional (Finance, Risk, Treasury), risk types (Credit, Market,Operational, Conduct, Pension)

Experience/ Qualifications:

Essential :

- 1-5 years of professional experience as a quantitative Economist/Econometrician in banking (Retail/Corporate/IB)

- Stress testing and scenario analysis experience across key risk types (market risk, credit risk and operational risk). Previous experience with stress testing & regulatory stress tests(BoE, EBA, CCAR) will be an advantage.

- A high level understanding of a banking institution P&L, balance sheet,liquidity & trading book

- Proven professional experience of developing of tools/techniques using technical skills such as econometrics, statistics & advanced programming skills (VBA, SAS, R, Python, Matlab, E-View)

- Strong communication skills and experience of presenting quantitative topics with application to real world developments.

Desirable :

- Regulatory experience would be an advantage but not essential

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

Technical Knowledge :

- Strong analytical problem solving skills in a banking, financial markets or consulting environment including an ability to break down complex problems into a small number of key issues, articulating novel analyses to resolve each issue, outsourcing those analyses to subject matter experts where necessary, while retaining overall responsibility for the quality and coherence of the resulting problem solution; and synthesizing the results together with an understanding of how these can be applied.

- 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

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