AVP - Credit Risk Stress Testing - Banking

We have an excellent opportunity with one of the well known investment Bank for the role of credit risk stress testing.

Role- AVP-Credit Risk Stress Testing

Location-Bangalore

JD as follows : 

- Wholesale Credit and Market Risk department within Risk function measures and monitors global credit and market risks arising from lending and trading activities as well as providing credit approval for large corporate, financial institution and sovereign exposures.

- The Stress Testing team within ensures that stress testing is implemented across the group in line with best practice for the purpose of (i) risk management, (ii) compliance with the Basel II/III regulatory framework and (iii) meeting enterprise-wide stress testing needs. One of the primary objectives of this team is to ensure that stress testing is executed consistently across three risk types: market risk, counterparty risk and wholesale credit risk. The scope of the team is both the trading and the banking books.

- The role requires supporting the ownership and accountability on some of the key elements of the stress testing framework along with managing a team working on similar deliverables. This includes: (i) providing methodology guidance to the local sites with the support of the Group methodology team (RRA), (ii) consolidating results, (iii) delivering analysis to Senior Management and (iv) ensuring that stress testing is meeting the demands of the front office and regulators.

Impact on the Business/Function : 

- Transform high level macro/market events into relevant scenarios for practical risk mitigation implementation and enterprise-wide stress testing.

- Project manage enterprise-wide stress testing as required by regulators.. Review, validate and overlay results to ensure that they are consistent with the defined scenario.

- Contribute to credit risk analyses and drive the implementation of new stress scenarios and stress testing methodology through globally for risk arising from trading and wholesale activity.

- Support local sites so that (i) stress testing is used appropriately by risk managers for decision making, (ii) vulnerabilities in the portfolio are well understood by senior management and credit approval officers, and (iii) stress results are factored into risk appetite and risk mitigation decisions.

- Involvement in the decision process ensuring that stressed risk measures are in line with best practise and meet regulatory requirements. Contribute to the necessary actions required to meet these requirements in terms of governance, methodology, and IT infrastructure.

- Contribute to the implementation and delivery of stress scenario results for capital planning on business activity.

- Take initiatives to develop innovative solutions in order to address ad-hoc requests from senior management on stress scenario results. Lead the development of ad-hoc tools and prototypes.

Knowledge & Experience / Qualifications : 

Background : 

- University degree and/or post graduate qualification with a relevant quantitative content.

- Previous relevant experience in credit risk management.

- Previous exposure to large projects involving technical IT considerations.

Technical skills : 

- Understanding of risk management techniques across a diverse portfolio of assets.

- Understanding of financial products including derivatives, macro-economics, econometrics and financial markets.

- Strong knowledge of financial markets and business principles.

Shahista Malim