Vice President - VaR Stress Testing - Investment Bank

VP - VaR Stress Testing ( Investment Bank )

Enterprise Risk Management (ERM) department within the Chief Risk Officer (CRO) division partners with key stakeholders throughout the Bank to strengthen holistic risk coverage and optimize the capital planning process commensurate with the firm's risk profile. ERM is building its stress testing and overall risk capabilities to meet an evolving regulatory environment for Group as well as to meet other risk and regulatory requirements across different regions.

This role would be part of the Global Scenarios group within ERM, and be based in Mumbai.

The successful candidate will be managing two teams of Senior and Junior Analysts that develop quantitative tools torun and analyse stress testing results for the group and be responsible to produce scenario results and presentations to the senior management of the team and the department.The key stakeholders are the group head regulator (FINMA) as well as CS Board and Senior Management.

This opportunity will support the development of the stress testing framework from an Enterprise risk perspective, including but not limited to:

- Preparation of scenario analysis presentations for senior management, the Board and Regulators. FINMA stress testing requirements including: Risk identification process and monitoring, Analysis of Regulatory Scenario results, and preparation of regulatory submissions.

- Scenario-based Risk Appetite metrics as part of the firm's Risk Appetite Statement, including:Stressed capital (capital resources, capital requirements and capital ratios), earnings, and leverage ratio, and including the design of appropriate stress testing methodology

- Ad-hoc internal stress scenario analysis that may be required by senior committees

- Recovery Scenarios (qualitative storyboard and quantitative calibration) and triggers (both P&L and capital) as part of Recovery and Resolution Plan (RRP) and Reverse stress testing framework

- Monthly/quarterly assessment of the firm's adherence to stressed capital, earnings and leverage metrics in the Risk Appetite Statement. Liaise with front office, Capital Management Group and other stakeholders to identify and evaluate mitigating actions where required

- Project managing cross-functional (e.g. Finance, Treasury, Risk etc.) inputs required from subject matter experts across the firm to meet above deliverable

- This role offers high exposure to Senior Management. Moreover the role is within one of the fastest growing and critical areas of the bank - stress testing. Stress Testing Scenario Analysis and related modeling are expected to gain even more prominence in the future.

- The Stress Testing group is located in London and Z- rich. Expansion is undergoing in the Mumbai hub. The role would be part of a large presence for Group ERM in Mumbai, and will be reporting directly to London and Z- rich.

- The job entails working to distill risk information from the analysis of stress testing results, and apply quantitative techniques to derive tangible implications for business lines and the group. The results of stress testing analysis would also feed into internal risk appetite / limit setting process and hence successful candidate would be expected to further integrate stress testing results with business decision making process.

You offer:

- Stress testing and scenario analysis experience across key risk types (market risk, credit risk and operational risk) required, with extensive team and project management experience (minimum years)

- Excellent understanding of risk measurement frameworks across risk types (i.e. market risk, credit risk, operational risk) and/or within risk types (e.g. VaR, Stressed VaR within market risk)

- Understanding of capital concepts (e.g. available capital, capital deductions, risk-weighted assets) and balance sheet concepts (e.g. leverage ratio)

- An excellent degree-level education (or equivalent) in a quantitative discipline essential

- Post graduate qualifications within a relevant field (MS- Finance, MBA, etc )and additional certifications such as CFA, FRM, PRIMA preferred

- Regulatory experience essential