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23/02 Shruti
Consultant at Black Turtle

Views:13209 Applications:300 Rec. Actions:Recruiter Actions:160

Stress Testing & Scenario Analysis Role - Global Scenario Analysis Team - Bank (2-15 yrs)

Delhi/NCR Job Code: 309287

We are hiring for global scenario analysis team in Gurgaon.

Job Description :

Purpose of the role:

Key responsibilities of the role holder are:

I. Scenario Development, Parameterisation & Vulnerability Assessment

- Support macroeconomic stress scenario design, development & parameterisation 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 parameterisation, narrative writing & interpretation, validation & benchmarking.

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

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

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

- Conduct second and third order impact assessment of stress scenarios on portfolios (banking book, trading book, balance sheet, products) and identify amplification mechanisms that may create losses & revenue impacts.

- Utilising analytical expertise across all risk/finance/treasury disciplines to support the assessment and understanding of company's risk profile, support deep-dive analytical reviews and cross-business/portfolio diagnostic work to identify and evaluate underlying risk.

- Conduct primary/secondary research and competitive analyses (eg product, financial performance, market positioning)

- Utilise existing banking/FI sector knowledge/experience to develop understanding of issues concerning the financial & capital position.

- Perform data analyses to drive insights (eg cost/profitability analyses, portfolio risk/return assessment) & identify linkages with emerging macro risks themes to inform vulnerabilities.

- Develop & enhance the end-to-end vulnerability assessment process working with functions & franchises.

II. Supporting end-to-end stress testing process & framework

- Utilising existing skill set to support Stress Testing & Risk Capital team in ad-hoc projects (eg Risk Appetite Setting, Reverse Stress Test, ICAAP, Stress test execution, Review & Challenge scenario output), where applicable .

- Support in developing executive & senior management communication packs during stress test execution

Deliverables:

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

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

- 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.

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

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

Experience/ Qualifications:

Essential

- 2-12 years professional experience as an economist and econometrics within a bank with experience of designing & developing stress scenarios, conducting economic research, implementing complex economic/statistical techniques.

- 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.

- Experience in producing high quality documentation output including Senior Management presentations & reports.

Desirable

- Regulatory experience would be an advantage but not essential

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

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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