Lead VP - Exposure Management Group - Market Risk

Vacancy Title: Exposure Management Mumbai team leader - VP

Department Name: Exposure Management Group

Business Description

The Exposure Management Group (EMG) is a core function within the Risk division and is responsible for analyzing pre-deal credit exposure for the whole spectrum of derivative products. EMG's mandate also includes defining and (back)testing clearing / Prime Brokerage margin methodologies, counterparty risk stress testing and acting a SME for Change The Bank initiatives from a derivative counterparty risk standpoint.

Furthermore, EMG is significantly involved in initiatives to ensure compliance with existing and upcoming regulatory requirements related to counterparty risk.

The Exposure Management Mumbai team will be working on the daily counterparty risk stress testing process, including risk validation and governance, which will be used for Counterparty Risk Management (CRM) of stress exposures vs. limits. This also includes specific ad-hoc analysis for CRM management depending on market events. Along with colleagues in EMG from other region, they will work on backtesting, updating and improving current methodologies and processes to calculate Initial Margins (IM, PFE or VaR for pre-deal approval calculations. Depending on the workflow from other regions (Europe / Asia), the team may be requested to help support live pre-deal requests from Credit Risk officers.

Position Description

This role will comprise the following key responsibilities:

- Lead the EMG Mumbai team to ensure objectives are met according to business requirements and in line with the values of the bank.

- Own the daily EMG Stress Testing risk validation process to ensure regulatory and business requirements are met. This may require to perform investigation into a wide range of production issues as an individual or as part of a team.

- Support regular quantitative analysis like backtesting or recalibration for internal margin methodologies.

- Potential to support IM / PFE / VaR calculations for live transactions and specific portfolio analysis. This may involve working with existing spreadsheet tools or setting up customized tools which use the bank's internal pricing models

- Potential to engage further in CCR RWA analysis and optimization

- Liaise with other areas of the bank, in particular Credit Risk, Market Risk and Front Office

- Review and Validate Daily / Monthly Stress Test Reports to be used by senior EMG and CRM Analysts

- Document new processes and procedures relating to Stress Testing

- Communicate updates and results to senior management within Risk and the Business

- Support in production of material to be distributed to regulators

- Define reporting requirements in conjunction with other Risk teams and Front Office partners

- Participate in bank wide working groups and committees

Job Requirements

Essential skills

- Strong mathematical and statistical background

- Good understanding of VaR concepts or EPE/PFE, valuation and margining approaches and methodologies

- Good knowledge of rates, FX, commodities, equities and credit business areas and products

- Understanding of risks both on trade and portfolio level

- Good analytical skills, able to demonstrate flexibility regarding problem solving

- Ability to work in fast paced environment

- Advanced knowledge in MS Office (Excel, Access and VBA in particular)

- Experience in use of Relational Databases and PL/SQL (Fundamentals)

- Open minded, able to share information, transfer knowledge and expertise to team members.

- Excellent communication, both written and oral

- Good team-working & team management skills

- Comfortable working across different time zones.

Education / Qualifications Requirements:

You will be:

- Educated to Engineering Degree or Equivalent.

- CFA/FRM is plus

- 10 + Years-Experience

- Detail-orientated

- Able to work on autonomous basis and as part of team

- Able to cope well under pressure and tight deadlines

- Willingness to challenge senior stakeholders if required

Language(s) Required: English