Associate/analyst - Market Risk - Stress Testing

Ikya Human Capital Solutions Pvt Ltd
  • Mumbai
  • 10-15 lakh
  • 1-6 years
  • Views
  • 15 Sep 2016

  • Business Analytics

  • Financial Services/ Capital Markets
Job Description

Role & Responsibilities of the position in brief:

- 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

- 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


- Knowledge of Derivatives products (including exotics) Markets, Economics

- 1 - 6 years of experience in Stress testing, preferably on the fixed income side on trading/risk management

- Masters (MBA preferred) from a reputed institution

- Strong in programming

- Experience on MS-Excel, VBA, SQL

Competencies/Skill sets for this job

MS-Excel VBA SQL Fixed Income VAR

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