RSK-Stress Testing Group Professional

Nomura

3 - 5 years

3 - 5 Lacs

Mumbai Maharashtra India

Posted:1 week ago| Platform: Foundit logo

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Skills Required

Market Risk scenario analysis Derivatives products

Work Mode

On-site

Job Type

Full Time

Job Description

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

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