Market Risk Stress Testing Job Description

Market Risk Stress Testing Job Description

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Market risk stress testing provides forward looking insights and deep dives in to risks in Markets to Head of Market Risk Oversight and General Manager, Market Risk.

Market Risk Stress Testing Duties & Responsibilities

To write an effective market risk stress testing job description, begin by listing detailed duties, responsibilities and expectations. We have included market risk stress testing job description templates that you can modify and use.

Sample responsibilities for this position include:

Follow developments on financial markets in order to distil possible effects on current processes
Analysing the results of scenarios and stress tests, using knowledge of markets and risk exposures to construct new scenarios and interpret results
Analyzing the results of scenarios and stress tests, using knowledge of markets and risk exposures to construct new scenarios and interpret results
To ensure engagement and coordination of functional requirements across Market Risk (Risk Managers, Portfolio Stress Testing, Methodology, ) and other key partners of Market Risk including but not limited to Front Office, IT, Analytics, Operations, Finance
Have very strong Market Risk experience - CCAR knowledge
Have strong stakeholder management experience - it will be necessary to challenge stakeholders on certain issues
Support the Bank’s Global Market Shock analytic team in analysis, and coordinate CCAR GMS tasks and activities any other adhoc shock based stress testing
Coordinate execution, analysis, and review activities related to Global Market Shock, interacting with FO, Risk, Quant teams, and IT
Support the Bank’s Global Market Shock analytic team in analysis of Credit Risk related CCAR GMS components adhoc shock based stress testing results
Coordinate capital plan documentation and risk appetite activities related to Global Market Shock, interacting with FO, Risk, Quant teams, and IT

Market Risk Stress Testing Qualifications

Qualifications for a job description may include education, certification, and experience.

Education for Market Risk Stress Testing

Typically a job would require a certain level of education.

Employers hiring for the market risk stress testing job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Finance, Engineering, Economics, Mathematics, Statistics, Sciences, Computer Science, MBA, Business/Administration, Physics

Skills for Market Risk Stress Testing

Desired skills for market risk stress testing include:

Excel and PowerPoint
Financial markets and products
Microsoft Word
Financial products
Market risk concepts
Regulatory environment and stress testing expectations
Financial markets
Financial markets and market risks
Financial products and intellectual curiosity
Market risk and traded products across various asset classes

Desired experience for market risk stress testing includes:

Documentation of framework, methodology, scenarios, portfolio drivers
Experience in Market Risk within the Financial Market / Investment Banking industry (other relevant backgrounds Trading, Product Control, IPV will also be considered)
Experience and understanding of various financial instruments across different asset classes is essential
The candidate should be comfortable working with computers
Prior experience of managing stress related projects, CCAR Global Macroeconomic Shocks, EBA annual stress tests or internal frameworks
Educated to degree-level preferably in a technical subject, Bachelors / Masters in engineering, science or mathematics

Market Risk Stress Testing Examples

1

Market Risk Stress Testing Job Description

Job Description Example
Our innovative and growing company is hiring for a market risk stress testing. Thank you in advance for taking a look at the list of responsibilities and qualifications. We look forward to reviewing your resume.
Responsibilities for market risk stress testing
  • Advisory role in design and implementation processes and procedures to ensure Stress Testing framework is compliant with new regulatory guidance and standards
  • Lead the development and execution of regulatory stress tests, including developing the methodologies, processes, and infrastructure to meet the new regulatory requirements from the Federal Reserve for CCAR
  • Conduct ad-hoc analyses of scenario results to highlight risk concentrations and trends to senior management and the Capital Markets Operating Committee, forward-looking analyses of the impacts of new initiatives or regulatory changes
  • Collaborate in the design of key components of the strategic market risk platform that are related to stress testing
  • Ensure accuracy and timely reporting of Expected Shortfall, VaR, Risk Class Contribution and Stress figures
  • Limit maintenance, monitoring and escalation of limit breaches & high limit utilization to appropriate team members for timely ratification / rectification
  • Maintain and backfill rates for ES/VaR scenario generation
  • Maintain reporting systems and perform User Acceptance Testing
  • Provide support to both local and overseas controllers, both ad-hoc and periodic requests
  • Provide analytical and business support in running of BAU Stress testing under both regulatory (CCAR/DFAST) and firm’s internal risk limit frameworks
Qualifications for market risk stress testing
  • Proficiency with a variety of IT applications good understanding of programming is advantageous
  • Minimum 7 years’ experience in Consulting, or a trading advisory role
  • Candidates will be expected to show an understanding knowledge of market risk and traded products
  • Experience interacting with large bank/securities regulators
  • Degree holder with at least 1 year working experience
  • Good Microsoft Excel and VBA skill preferred
2

Market Risk Stress Testing Job Description

Job Description Example
Our growing company is looking for a market risk stress testing. If you are looking for an exciting place to work, please take a look at the list of qualifications below.
Responsibilities for market risk stress testing
  • Work with senior members of the team in identifying requirements for standardizing various reporting schemas for Global Market Shock ( GMS) work stream
  • Liaise with Business analysts and IT leads to provide requirements for both mandatory and discretionary book of work (Results reporting, 14A/14Q reconciliation, PL/Higher order explains )
  • Provide assistance in overall results aggregation/analysis and documentation/story telling
  • Produce, verify, and ensure stress testing results are accurate, in our current stress testing infrastructure
  • Work with IT, reporting and stress testing teams globally to implement new stress tests and build out new stress testing infrastructure
  • Analyse the results of scenarios and stress tests, using knowledge of markets and risk exposures to interpret results
  • Work with MRM Strategists and IT to implement and validate reliable and accurate stress testing methodologies for all products
  • Drive improvements in stress testing capability by working with Front-Office Strategists& IT and Risk Managers to implement reliable and accurate stress testing methodologies for Interest Rates products and hybrids
  • Work closely with the Risk Infrastructure team and IT, to ensure that key CCAR, other Regulatory and BAU scenarios are produced on a timely and accurate basis
  • Perform deep dive of the scenario results, explain directional risks, basis risks, non-linearity, cross terms and impact of other risks on stressed results, and efficiently communicate result of analyses with relevant stake holders
Qualifications for market risk stress testing
  • Strong adaptability to work in fast pace environment
  • Good time management to resolve support within tight timeline
  • Quantitative and analytical background with an understanding of risk management concepts (e.g., VaR and market risk stress
  • Strong quantitative and analytical background with an understanding of risk management concepts (e.g., VaR and market risk stress
  • Understanding of products traded within Capital market business (Equity options, Interest rate swaps, Munis , Corporates ) from a market risk standpoint ( risk measures such as Delta, CS01, Volatility risk) and familiarity with general concepts of VaR, sVaR
  • Familiarity with US Regulatory Framework for Stress testing ( CCAR/Dodd Frank Act)
3

Market Risk Stress Testing Job Description

Job Description Example
Our company is searching for experienced candidates for the position of market risk stress testing. Thank you in advance for taking a look at the list of responsibilities and qualifications. We look forward to reviewing your resume.
Responsibilities for market risk stress testing
  • Analyze the results of scenarios, using knowledge of markets and risk exposures
  • Work independently with Model developers and IT groups to develop and implement new risk analysis tools and measures
  • Build better reporting and analysis tools for explaining regulatory scenarios such as for the US FED CCAR Scenarios, UK PRA Scenario and for internal Business As Usual scenarios used for risk management and limit setting
  • Work independently and with reporting groups to enhance the quality of stress testing risk analysis communicated to risk managers, business units/traders and senior management
  • Manage 5-10 people team working on market risk or counterparty stress scenarios
  • Work on strategic initiatives with Pricing Model Developers, Risk Infrastructure and technology to develop and execute plans for improving the Firm’s stress testing capability
  • Work on strategic build out of tools for monitoring and analyzing stress losses across the traded option and vanilla portfolios on a timely basis and with precision
  • Support the daily production of stress loss results for the US FED CCAR Scenarios, UK PRA Scenario and for internal Business As Usual scenarios used within risk management and limit setting
  • You will review and help prepare Business Requirement Documents for IT for Risk deliverables
  • You will work with model validation teams to get the related models validated
Qualifications for market risk stress testing
  • Undergraduate degree in Economics, Math, Engineering, Statistics, and Finance preferred
  • Advanced Excel with VBA , ability to deal with large data sets using SQL query, MS-Access , Python and/or R packages
  • 2 years’ experience working in projects as a business analyst within Risk or Finance at Investment banks or consulting/public accounting firms
  • You will develop methods and tools to assess the reasonableness of CCAR Champion model results
  • You will document model methodology and related processes, assessments of Champion model results
  • You will develop tools to facilitate testing, ongoing performance monitoring of models
4

Market Risk Stress Testing Job Description

Job Description Example
Our innovative and growing company is searching for experienced candidates for the position of market risk stress testing. We appreciate you taking the time to review the list of qualifications and to apply for the position. If you don’t fill all of the qualifications, you may still be considered depending on your level of experience.
Responsibilities for market risk stress testing
  • Liaising with key stakeholders within MRM and Risk Methodology, Front Office, Information Technology, Finance, Treasury across a range of topics including designing new stress tests
  • Detailed Cross-Asset/Portfolio focused analysis of stress PnL/impact and briefing senior management on the key drivers
  • Participating in and contributing to cross function regulatory stress testing exams and group-wide stress testing
  • Producing ad hoc presentations and assisting with governance-related activity
  • Lead asset class stream from stress testing side- front to back
  • Key regional lead to understand and manage “front to back” MTM models, methodologies, processes and reports and manage stress testing execution relationship across diverse stakeholders
  • Central regional point to assess and calculate impacts of models and model changes to stress test results and plan mitigating actions
  • Central point for all results aggregation/analysis and documentation/story telling
  • Collaborate with New York, London and Frankfurt based stakeholders, communicating stress loss results to senior management
  • Analyze and identify potential vulnerabilities of the Firm based on loss projections under different real world scenarios
Qualifications for market risk stress testing
  • Understands and can communicate technical details and business requirements to various stakeholders
  • Expertise in business analysis, writing and presentation skills to produce capital plan documents and results review for DB USA’s CCAR stress testing results
  • You will develop and execute ongoing maintenance of CCAR models for instantaneous loss
  • You will supervise internal teams of junior modelers to ensure that standards for projections model development are met
  • You will collaborate with internal and external teams responsible for oversight, development, implementation, and review of projections models
  • You will Liaise with CSH USA’s independent model review and validation function, and address any required remediation
5

Market Risk Stress Testing Job Description

Job Description Example
Our growing company is searching for experienced candidates for the position of market risk stress testing. To join our growing team, please review the list of responsibilities and qualifications.
Responsibilities for market risk stress testing
  • Manage innovative projects related to data analysis, visualization, and process automation
  • Coordinate as necessary with other functional groups within and outside risk management
  • Create ad hoc analysis and regulatory data requests
  • Completing detailed Cross-Asset/Portfolio focussed analysis of stress P&L/impact and briefing senior management on the key drivers
  • Producing ad hoc presentations and assist with governance-related activity
  • Run the existing processes and work on improvements
  • Operationalize data collection processes by employing automation
  • Conduct analysis on large data sets, processes and technology systems
  • Collaborate with stakeholders and partners distributed in different regions and teams
  • Coordinate work with technology partners related to systems and data
Qualifications for market risk stress testing
  • Experience in JPM internal systems a plus
  • Excellent data analysis skills and project management skills
  • Strong Microsoft application suite user, especially Excel and VBA
  • Ability to work independently with high attention to details
  • You have acquired at least four years of risk management, valuation or risk model development, econometric modelling or risk analysis experience within the financial industry, preferably with prior CCAR / stress-testing experience
  • You have achieved a Master’s degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics)

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