Stress Testing Project - Traded Market

 

Risk ( Business Analyst / Consultant)

 

Organisation

 

A premier trading Bank are looking for a consultant to drive the new stress testing project within their traded markets Market Risk teams for a 6 month contract. 

 

Role

 

  • Influential role in developing trading book stress testing methodologies

  • Leading the Group Stress Testing Project for market risk

  • End-to-end responsibility for Traded Markets Group-wide stress test process which includes all regulatory stress tests applicable to the bank.

  • Understanding the assumptions made and the limitations of the current methodology and seeking improvement within the process, documenting and ensuring proper controls & Governance are in place.

  • Build out the Group-wide stress testing capacity across all lines of business to meet all regulatory requirements

  • Responding to regulatory requests from Regulators and other Agencies.

  • Maintaining and improving the framework for stress testing, which includes defining shocks across asset classes and risk factors, defining macro scenarios, and analysing the results of the analysis versus imposed limits.

  • Supporting scenario calibration, stress methodology, model development, risk analysis to allow risk appetite definition for global and regional risk management

  • Ensure that the business’ market risk profile is transparent to Board level and regulators

  • Managing the technology that serves as a central repository for stress testing  & securing and management of the data you need, or influencing its production. 

 

Individual

 

  • Experience working with stress testing models

  • Background in market risk, credit risk, or a career in the front office desirable

  • Experience in a consultancy or Regulator also of interest

  • Model development desirable,

  • Exposure to statistical analysis package like SAS, as well as SQL desirable  

  • Strong organizational skills

  • Impeccable communications both written and verbal

  • Ability to work under pressure

  • Ability to drive multiple projects simultaneously