AVP - Stress & Scenario Calibration - Investment Bank

We have an opportunity with one of the global investment bank for the role of AVP.

Process : Stress & Scenario Calibration

Location: Bangalore

Role Overview :

Stress & Scenario Calibration is a key central role, and drives the inputs to risk calculation models used for market risk and credit risk calculations globally

As a people manager, the individual will manage analysts who work on Stress & Scenario Calibration and be responsible for the following..

Team & Stakeholder Management:-

- Oversee & manage the end to end operations of the team

- Develop & maintain a strong stake-holder engagement across all geographies

- Ensure Time Series Governance and Control are understood by the team

- Take ownership of the BAU execution

Quality and Control:-

- Manage market data validation system (Asset Control) and Tiger Scenario Engine which feed scenarios to the downstream Risk Engines such as ValServer, Raven, SummitVaR, etc

- Ensure the daily BAU processes are effective and efficient

Change and Analytics:-

- Support functional enhancements to Tiger Scenario Engine and Asset Control

- Methodological improvements in risk factor/scenario generation

- Continuous data quality improvement focused on reduction in risk based capital charge

Key Skills:

Domain expertise in Market Risk / Credit Risk preferably with a bank or from a banking environment

- Good knowledge of Value at Risk models, market risk and financial instruments

- Education from a reputed institution, and professional certification such as FRM / CFA preferred

- Strong stake holder management experience

- Prior experience in time series analysis, Asset Control would be preferred

- Basic to advance understanding of Asset Control would be preferred

Black-Turtle