Function Overview:

Wholesale Credit and Market Risk (WMR) is the central point for matters relating to traded credit and market risk within the Group. This includes the design, development and implementation of traded credit and market risk policy and systems. WMR is also responsible for reporting the Group's consolidated market risk exposures and has a delegated authority from the Group's Risk Management Meetings (RMM) to approve market risk limits throughout the Group.

Stress & Scenario Calibration (SSC) is a key central role, and drives the inputs to risk calculation models used for market risk and credit risk calculations globally. Central to this role is the management of market data used to generate the model calibration. In addition, the role is expanded to include the critical area of Market Risk Stress Testing.

Role Overview:-

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

- Provide effective & cohesive leadership to lead/guide the team

- Provide input towards developing metrics, scorecards and status reports to track the success of the business and highlight offshore team performance

- Develop & maintain a strong stake-holder engagement across all geographies (Countries, regions & Group) that are supported from India

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

- Take ownership of the BAU execution

Quality and Control:-

- Deliver quality market data for risk factors and scenario data relevant for risk calculations and improve transparency for risk management

- 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

- Provide analytics to support the calibration of models. Generate and distribute relevant regular management information (MIS) with detailed explains

- Support data queries from various stakeholder teams

- Investigate and close data validation exceptions

- 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

Experience & Qualification:

- Prior and relevant work experience of 9 to 12 years, post qualification

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

- Excellent communication skills

- Prior experience handling a team

- Strong stake holder management experience

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

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

- Basic to advance understanding of Asset Control would be preferred

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.