Multiple opening on Market Risk Management - CCAR /Portfolio Stress Testing.

Stress Testing team is responsible for delivering the Market Risk Stress Testing framework .

Key Responsibilities:

- Provide analytical and business support in developing regulatory stress testing framework.

- Work with SMEs of the team in developing requirements and methodologies for delivering various regulatory reporting schedules and (e.g. CCAR 14Q, 14A, etc.)

- Liaise with Risk business analysts and IT leads to provide business requirements for regulatory stress testing framework

- Perform UAT on IT deliverables and support production execution for the book of work of CCAR 14Q submission

- Run 14Q on a quarterly basis

- Be responsible for - end to end- reconciliation of positions and coordinate with New York asset stress testing asset class teams

- Be responsible for 14Q based 14A P/L calculation and explains as well as 14Q documentation

Global Business

- Identify the top and emerging risks each week, including sourcing the relevant information from MRAC and the business MRMs

- Summarize key changes in all portfolio metrics in a manner suitable for senior management consumption; this will involve working closely with MRA and business MRMs.

- Review and understand the historical simulation VaR, including staying abreast of the development of this metric

- Perform deep dive analysis into concentrations of risk or emerging items of interest, providing high quality and accurate information at a level for senior management consumption.

- Perform analytical analysis of out limit framework to generate proposals for limit changes and for new limits.

- Develop necessary tools to facilitate more efficient analysis of risk

Role will also involve

- Support PST methodology development and enhancements including full revaluation techniques

- Analyze stress P&L and develop necessary tools to facilitate more efficient analysis of risk

- Support production

- Test and sign off stressed P&L impact analysis

- Documentation of calculation approaches and results including input, calculation assumptions, outputs, explanation of delta changes etc.

Quantifications & Skills

- Bachelor's degree in economics, mathematics, statistics, engineering, computer science or finance (higher degree M.S. is a plus)

- Solid background in financial mathematics and strong analytical skills

- Familiarity with the US Regulatory Framework for Stress Testing (CCAR 14Q, 14A, etc.)

- Ability to implement regulatory requirements and work with regulatory source documents

- Experience of working in major risk projects with IT is preferred

- Ability to work with large amounts of data from a number of inhomogeneous data sources

- Professional Excel and Access, plus experience with relevant programming including VBA

- Experience with additional programming languages and modelling software is a plus (e.g. R, Python, SAS, SQL, etc.)

- Well organized working approach and proven ability to solve problems independently and delivery focus

- Excellent written and verbal communication skills

If you find it is suitable then please send me your updated CV with below detail or provide me a reference .

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Tejashree Waradkar

Team Leader

Dir No: +91 22 66848548|Mob No .8454843560

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