Roles and Responsibilities:
- Stress testing primary purpose is to ensure that all material risk concentrations are understood and consistent with the Firms risk appetite and business strategy
- Stress testing is carried out on a regular basis to ensure that the Firm has sufficient resources to continue to do business in the event of a severe downturn scenario beyond the reach of VaR/Economic Capital
- Analysis and review of scenario results, focusing on understanding behaviour of derivative products under scenario conditions
- Scenario definition and expansion
- Implementing improvements to stress testing reporting information and developing new stress tests in order to provide effective key risk management information to senior management
- Working with front office and other risk managers to review current portfolio risks and trading strategies in order to develop new scenarios / improve current scenarios to fully address market risks
- Overall consolidation Reporting: monthly / quarterly to senior management and regulators
Key Skills required:
Mandatory:
- Knowledge of Derivatives products (including exotics) Markets, Economics
- 3 - 5 years of experience in Market Risk/Stress testing, preferably on the
- fixed income side on trading/risk management
- Masters (MBA preferred) from a reputed institution
- Excellent oral and written communication skills
Desired
Some experience in programming such as Excel VBA, R, Python
