Role & Responsibilities of the position in brief:
Analysis and review of scenario results, focusing on understanding behaviour of derivative products under scenario conditions
Satisfy the regulators scenario requests and other infrastructure and control requirements
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 and other risks
Contribute in the design and specification of functional improvements to strategic and tactical IT applications used for stress testing.
Looking for someone with strong product knowledge of Rates/FX derivatives like TARFs, PRDCs, barriers, inflation products .
Should have experience in market risk/VAR/risk methodologies background.