Stress Testing

New York  ‐ Onsite
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Keywords

Description

Role Definition:

Developing stress testing models across multiple risk domains, e.g., Credit risk, Market Risk, ALLL, etc., and for aggregate enterprise/bank level decisions
  • Understand regulatory stress testing requirements in for risk domains (credit risk, market risk, etc.)
  • Design stress testing approach frameworks for different types of models such as loss projection, revenue projection, expense projections etc. - in consultation with operations teams
  • Able to provide both hands-on development assistance and remote development guidance
  • Help with the development and/or diffusion of relevant software, expertise and domain knowledge
  • Help with the development and/or diffusion of related modeling practices, to enable comparison and benchmarking across approaches, etc.

Required competencies
  • Hands-on experience and understanding of stress testing process, relevant regulatory requirements around stress testing, and impact of stress testing on banking decision making process etc.
  • Working knowledge of the data and methodology used for prevalent stress testing models (e.g., PD/EAD/LGD based models for credit risk, Value-at-Risk models for market risk, ALM & behavioral models for interest rate risk) and their stress testing derivative's such as Rating Transition Models, Roll Rates, Charge off models and other regression approaches
  • Working knowledge on developing, documenting, and assisting in implementation of varied stress testing models
  • Working experience of developing and/or validating risk computation models such as IRB compliant credit risk models, IMA compliant market risk models, AMA compliant operational risk models etc.
  • Knowledge of domain, products and related software to help with the development and diffusion of the required knowledge and expertise
  • Good communication, stakeholder, and project management skills to enable working with multiple teams if required


Please send your updated resume to Ciara O'Kane at Huxley to be considered for the position.
Start date
05/2014
Duration
Permanent
From
Huxley Associates
Published at
03.06.2014
Project ID:
715497
Contract type
Permanent
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