We're currently partnered with a growing international investment bank in NYC looking to add a strong VP-level candidate within their Portfolio Risk team. The group is focused on the design, calculation, and analysis for stress testing scenarios across all risk stripes. The team produces RWA forecasts, estimate stress loss calculations, and perform capital impact analysis of new business activity for the firm.
Responsibilities:
- Scenario Design - align with market conditions, regulatory guidelines, overall bank appetite
- Scenario Evaluation - assess market conditions and its effect on the bank portfolio
- Stress Test Calculation - work directly with line risk managers and infrastructure partners to ensure tests are correctly implemented
- Stress Test Explanation - produce result documents explaining insights of certain risk drivers
- Risk Appetite - scenario expansion in accordance with CCAR forecasting, execute RWA forecasting model
- Capital Analysis - Basel III
Qualifications:
- 5 - 10 years' experience in Market Risk or Market Risk Stress Testing with a large bank
- VaR, RWA, Economic Capital experience
- Fixed Income and Equity asset class knowledge - cash and derivatives
- Proven quantitative modeling skills - Python, SQL
- Experience/understanding of regulatory requirements related to stress testing - DFAST, CCAR, Basel III, FRTB
