Equities Market Risk Scenarios
The central scenarios team within Mumbai Market Risk is responsible for handling the stress testing deliverables (which includes crafting, calibration, validation, commentary, co-ordination with senior partners) for various regulatory, internal group risk management, BAU needs across major asset classes. This role is based out of Mumbai, as part of mentioned team, catering to GM Equities and Equity Derivatives Market Risk Stress testing support.
/ Delivery / improvements in execution of Reg / Internal scenarios:
- You will review & sign off Equities market risk scenarios generated as part of the regulatory/RUST/other specific deliverables, including issue resolution, validation etc. Work on the implementation and expansion of Covariance framework to new/existing Equities scenarios.
- You will do validation, signoff, review and commentary for the regulatory scenario reports and submissions, including: ICAAP, FDSF, LPA, BB2 etc. New Regulatory scenarios: ensure accurate scenario definition, establish process for sign-offs and validate results using internal risk reports and sensitivities.
- You will improve forward-looking scenarios: Event driven and product specific, with inputs from publically available and internal research established scenarios and set up validation process.
- You will work with FO IT, RFDAR on accurate and on-time delivery of BAU scenarios; co-ordinate with clusters and business in case of flag/limit breach associated with the key scenarios. Identify and troubleshoot issues related to valuation of trades, work with GMAG/Giraffe to address them.
- Scenario calibration and execution, methodologies discussion with cluster risk teams, liaising with senior partners for Equities Market risk scenarios in Firm wide Rapid & Urgent Stress Testing (RUST)
- Supporting IT/infra developments related to Equities Market risk Stress Testing, expansion of the covariance approach to new scenarios; responsible for socializing and fostering adoption by key partners; working with CRO change on prioritization of IT deliverables
- Building & improving scenarios calibration capabilities for Equities Market risk scenarios; analyzing historical trends & behavior to gain key insights, support development and improvement of cross-asset scenarios calibration tool from Equities standpoint
- Working with junior analysts and developers in team and responsible for review of their deliverables, driving automation of scenarios reports, ensuring standard methodologies followed, and guiding in their professional development
- Facing off to key business partners (i.e. Risk Heads, ERM, Regulatory Risk) to explain, at a level suitable to the partner, movements across key businesses and scenarios. Build subject matter expertise and act as the primary point of contact for market risk scenarios analysis across Equities and derivatives clusters, coordinating with risk managers/analysts.
- You have deep knowledge of market risk concepts, investment banking products, with expertise in Equities asset class
- You have the ability to work in a challenging environment; collaborating with senior risk managers & helping meet tight regulatory deadlines
- You have high standard of written English, and experience of producing formal documentation
- You are able to operate autonomously, to move a project/task forward and produce an end state product that can be presented to senior management with minimal required revision
- You have advanced quantitative degree, certifications such as FRM, CFA would be a plus