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• Banking/ Financial Services
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Job Description
Support macroeconomic stress scenario design, development & parameterisation through quantitative techniques & qualitative assessment for the purposes of internal stress tests.
– Support enrichment of regulatory macroeconomic and market risk scenarios for Bank of England and EBA stress tests including parameterisation, narrative writing & interpretation, validation & benchmarking.
– Support revision & development of internal stress scenario library through economic research and collaboration with internal & external experts.
– Support enhancement of enterprise-wide scenario generation process within the bank.
– Support bank’s vulnerability assessment process through identification of potential weaknesses in portfolios, strategies & business models & its linkages with stress themes
– Conduct second and third order impact assessment of stress scenarios on portfolios (banking book, trading book, balance sheet, products) and identify amplification mechanisms that may create losses & revenue impacts.
– Utilising analytical expertise across all risk/finance/treasury disciplines to support the assessment and understanding of company’s risk profile, support deep-dive analytical reviews and cross-business/portfolio diagnostic work to identify and evaluate underlying risk.
– Conduct primary/secondary research and competitive analyses (eg product, financial performance, market positioning)
– Utilise existing banking/FI sector knowledge/experience to develop understanding of issues concerning the financial & capital position.
– Perform data analyses to drive insights (eg cost/profitability analyses, portfolio risk/return assessment) & identify linkages with emerging macro risks themes to inform vulnerabilities.
– Develop & enhance the end-to-end vulnerability assessment process working with functions & franchises.
II. Supporting end-to-end stress testing process & framework
– Utilising existing skill set to support Stress Testing & Risk Capital team in ad-hoc projects (eg Risk Appetite Setting, Reverse Stress Test, ICAAP, Stress test execution, Review & Challenge scenario output), where applicable .
– Support in developing executive & senior management communication packs during stress test execution
Deliverables:
– Deliver minimum bi-annual vulnerability assessment undertaken across the bank and businesses, multi-functional (Finance, Risk, Treasury), risk types (Credit, Market,Operational, Conduct, Pension)
Interaction with Senior Business Risk Specialists and Risk Senior Management to drive delivery & challenge methodologies; assumptions, outcomes and implications of results, as required.
– Support production of fully parameterised macroeconomic scenarios for assessing capital adequacy, and testing risk appetite setting for businesses and the bank.
– Design & develop clearly articulated Senior Executives & Board scenario communication pack illustrating rationale for selecting stress scenario, scenario profile & severity and parameterisation.
– Support development of scenario severity assessment tools & parameterisation methodology/approach and develop documentation.
– Liaise with Senior Risk, Finance, Treasury representatives to discuss stress scenario themes, narratives, parameterisation & revise stress test library.
– Support strategic stress scenario generation initiatives, as and when required
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testingStress Testing
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
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Stress Testing and Scenario Analysis
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