RSK-Market Risk Professional

Job Summary


Role & Responsibilities

Market Risk Stress Testing

• Execute weekly & monthly stress scenario adjustments
• Manage comprehensive month-end sign-off processes for stress scenarios at regional, global, and legal entity levels
• Handle regional/product line specific monthly activity updates including MIS and reporting
• Perform daily sanity stress data checks to ensure data completeness and consistency
• Support IRRBB (Interest Rate Risk in Banking Book) monthly sign-offs

Credit Risk Stress Testing

• Generate and manage Stressed Current Exposure (SCE) adjustments
• Conduct weekly PRA exposure explain processes
• Validate stress batches for scenario stressed EEPE & SCE metrics
• Support quarterly regulatory batch validations and semi-annual credit index mapping updates

Financing Risk (Counterparty VaR)

• Handle daily financing risk adjustments against counterparties
• Execute stress loss controls checks on both daily and weekly frequencies
• Monitor financing risk VaR and indirect jump metrics
• Governance & Reporting

Data Quality Management

• Implement data quality processes around all data inputs and outputs to and from stress testing systems
• Analysis of data, resolution of breaks and clean-up of existing data
• Produce weekly management updates & key metrics
• Maintain documentation and evidence

Domain

• Understanding of stress testing frameworks and risk measures

Position Specifications

• Corporate Title: Associate
• Experience: 3 to 4 years of relevant experience
• Qualification: B.TECH + MBA, B.Sc IT CS + MBA, M.Sc Statistics Maths, M.Sc IT + CFA FRM

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