Assistant Vice President - MVRM Portfolio Stress Testing - BFSI

- Market & Valuation Risk Management (MVRM) provides an independent view of market risks to Bank's senior management and manages the Market Risk position in an independent and neutral way. MVRM strives to incentivise the trading businesses to implement better risk management practices. MVRM is thus an important partner for the trading business and its contribution is central to ensuring that the levels of risk-return ratios for the Bank are in line with the risk appetite of the bank.

- Stress testing is a key risk management technique used to estimate the impact on Bank's earnings stability and capital resilience, of a set of specified changes in risk factors, corresponding to extreme but plausible events.

- MVRM Portfolio Stress Testing provides a cross asset top-down approach for senior management to understand the stress P&L for DB Group across a broad range of hypothetical and historical events. It is used extensively for business strategy, risk management and capital planning. The team works closely with Market Risk Managers covering all asset classes along with other key stakeholders across the enterprise.

- The MVRM Portfolio Stress Testing team is looking for a strong technical candidate to be accountable for stress testing analysis for a particular asset class, including analysing drivers for stress losses across internal and regulatory scenarios. The role will also involve liaising with SMEs from Market Risk Management, Risk Methodology, Market risk & FO- IT to identify and resolve methodology / infrastructure issues impacting stress test results.

- The candidate will ideally have strong understanding in one asset class and be fluent in Portfolio risk analysis for the particular asset class. The candidate will also ideally have strong IT skills (preferably Python, VBA for Excel/Access, SQL) and willing to join a dynamic environment under high scrutiny.

Your key responsibilities:

- Provide a maximum of 5 bullet points detailing key accountabilities, managerial/leadership responsibilities, day to day activities and systems that will be used

- Design and calibrate stress shocks for multiple securitized products and Leveraged & Structured Lending business

- Run and Enhance Full Revaluation stress scenarios for Market Risk.

- Analyse the Full revaluation results and provide the detailed analysis to Risk managers

- Actively participate in various workstreams to deliver the Strategic Stress Scenario programme

- Perform regulatory Stress Test runs like CCAR14Q, CCAR14A, EBA, MAS etc

Your skills and experience :

- Provide a maximum of 5 bullet points detailing relevant, essential qualifications/skills/experience/qualities

- University degree preferably in Computer Science and/or Mathematics/Statistics with 6+ years work experience.

- Strong products knowledge in Securitised products, Leveraged & Structured Lending business and Market Risk management

- IT skills: Python/Java, VBA for Excel & Access, SQL

- Familiarity / experience with key regulatory deliverables and developments in stress testing.

- Highly organised and motivated, with excellent communication and interpersonal skills.

- Able to multitask, adapt and work well under pressure.