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Market Stress Testing Methodology

Eingestellt von Edelway

Gesuchte Skills: Consultant

Projektbeschreibung

For a global Bank based in Zurich we are looking for a consultant with expertise on Market risk and stress testing methodologies to join the Global Stress testing group of the bank.

PROFILE

Strong experience in Stress testing and Market Risk areas, within Global banking environments:

*7-10 years' experience of having worked in a market risk function in a tier 1 Investment Bank
*Good understanding of complex investment banking products/risks
*Solid understanding of market stress testing methodology
*Successfully developed/enhanced market stress testing methodology
*Excellent financial modelling skills with a strong quantitative background
*Capable of delivering results under strict deadlines
*Excellent verbal and written communication in English

RESPONSIBILITIES

The candidate will be part of a small team, reporting directly into global head of stress testing methodology. This newly formed challenge function sits within group stress testing methodology team which is responsible for ensuring market stress testing standards across the firm. The function is responsible for understanding existing set of market stress testing models, analysing the key drawbacks and limitations as well as working with existing market stress testing model owners. Challenge function is also responsible for reviewing market stress testing results before these are submitted to senior management and Board of Directors, as well as to FINMA.

*Development of market stress testing methodology which would enable execution of ad-hoc scenarios. This is also a critical senior management requirement to enable stress testing team to respond to ad-hoc scenario requests in timely manner with sufficient degree of confidence
*Build out of challenge function to challenge market risk scenario results
*Presenting market stress methodology developments along with impact analysis to senior management. The key stakeholders would be the regulator as well as senior management.
*The job entails working on stress testing methodology focused on market risk. The results of stress testing would also feed into internal risk appetite/limit setting process and hence successful candidate would be expected to further integrate stress testing results with business decision making process.
*Developing and improving existing market risk stress testing methodology across all key market making activities
*Working closely with Market Risk modelling team to understand and provide effective challenge to approaches developed by the team. This is the most challenging part of the role as there is a lot of scope for creativity and out of the box thinking to come up with innovative solutions.
*Coming up with alternative challenger approaches to benchmark results driven by the primary models developed by Market Risk scenario modelling team.

If this sounds like your next challenge, please send us ASAP your updated CV at (see below) and we will call you back shortly.

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Projektdetails

  • Einsatzort:

    Zürich, Schweiz

  • Projektbeginn:

    asap

  • Projektdauer:

    6m + Extensions

  • Vertragsart:

    Contract

  • Berufserfahrung:

    Keine Angabe

Geforderte Qualifikationen

  • Kategorie:

    Organisation/Management

  • Skills:

    consultant

Edelway