Job Description
Stress Testing analytics:
The Stress Testing analytics is a sub-team of the Risk Methodologies Group (RMG); has the mandate to develop / enhance stress testing models in line with internal and regulatory requirements/guidelines provided on Stress testing framework. The methodologies side of the group has the critical task of owning and developing all the stress testing models that are used for computing capital adequacy for the whole firm under various regulator(s) provided scenarios or internal scenarios. The team works extensively on the regulatory capital model under stress scenarios.
The Stress Testing models work with front office and other risk managers to review pricing errors under full revaluation methods and also enhance the stress testing models. The role will predominantly focus on the development, documentation and maintenance of the various Stress testing models across various legal entities.
Role Responsibilities:
- Work closely with the Stress Testing Group (STG), the Risk Methodologies Group (RMG) and Risk Model Validation Group (RMVG)
- on the projects related to Stress Testing Framework.
- Development and periodic update of proto-type models with special attention to the model related to Market risk and Counterparty Credit Risk.
- Implementation of stress testing models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
- To act as a subject matter expert for the stress testing models and providing support to the model users (i.e. stress testing group) and be a key point of contact with respect to such models.
- Work on the stress testing guidelines, perform firm wide analysis to assess the impact of stress testing models and support in quantitative impact study (QIS).
- Create strategic tools for stress testing models using python.
- Perform model performance monitoring tests on the stress testing models.
- Participate in periodic review of models and calibration of model parameters.
- Provide necessary support to Model validation group/Audit team during validation of stress testing models including any model change on an ongoing basis .