Market Risk, Stress Testing and Scenario Design

Responsibilities

• Serve as a key contributor to the firm's regulatory stress-testing framework
• Design, govern, and evolve Global Market Shock (GMS) and Counter party Credit Stress Testing (CCST) scenarios
• Develop scenarios covering interest rates, credit spreads, equities, foreign exchange, commodities, and volatility markets
• Identify emerging risks and assess portfolio vulnerabilities
• Translate market developments into stress scenarios and loss assessments
• Develop and calibrate market shock methodologies across thousands of risk factors
• Apply quantitative analysis, historical market research, and expert judgment to evaluate scenario severity and benchmark assumptions
• Partner with Market Risk, Trading, Treasury, Counter party Credit Risk, Finance, Model Risk Management, Regulatory Assurance, and senior stakeholders
• Develop innovative tools, models, dashboards, and visualization solutions
• Support regulatory examinations, model governance reviews, and internal oversight activities
• Present methodologies, analyses, and scenario results to senior management, risk committees, auditors, and regulators
• Serve as a subject matter expert on market stress testing, cross-asset market dynamics, regulatory developments, and emerging risks

• Deep understanding of global financial markets and relationships between risk factors across asset classes
• Strong quantitative and analytical capabilities
• Ability to exercise sound judgment in ambiguous situations and form data-driven conclusions
• Confidence engaging with senior stakeholders and constructively challenging assumptions
• Strong communication and presentation skills
• Master's degree or PhD in Finance, Economics, Financial Engineering, Mathematics, Statistics, Physics, or a related quantitative discipline
• 5+ years of experience in market risk, stress testing, quantitative analytics, financial market modeling, scenario design, or related disciplines
• Expertise in designing, calibrating, executing, or independently reviewing GMS, CCST, CCAR, or related regulatory stress-testing frameworks
• Understanding of market risk regulatory frameworks, including Basel market risk requirements, FRTB, trading book stress testing, and counter party credit risk
• Experience developing quantitative methodologies for stress testing, scenario design, risk-factor calibration, or market risk analytics
• Experience engaging with regulators, model risk management, internal audit teams, and governance committees
• Ability to communicate complex quantitative concepts to technical and non-technical audiences
• Strong programming and data analysis skills using Python or similar languages
• Experience with advanced analytics, automation, or AI-enabled tools is a plus

Demonstrates expertise in market risk analysis, regulatory stress testing, and quantitative methodologies, with a strong ability to communicate complex concepts to diverse stakeholders. Proficient in developing and calibrating stress-testing frameworks and innovative analytical tools to assess portfolio vulnerabilities and emerging risks.

• Market Risk Analysis
• Regulatory Stress Testing
• Quantitative Methodologies
• Python Programming
• Scenario Design

• Quantitative Analysis
• Market Shock Methodologies
• Risk Factor Calibration
• Financial Market Modeling
• Stress Testing Frameworks
• Data-Driven Decision Making
• Scenario Development
• Advanced Analytics
• Automation Tools
• AI-Enabled Tools

• Strong Communication Skills
• Analytical Capabilities
• Judgment in Ambiguous Situations
• Engagement with Senior Stakeholders
• Presentation Skills

• Global Financial Markets
• Counter party Credit Risk
• Basel Market Risk Requirements
• FRTB
• Trading Book Stress Testing
• Model Risk Management
• Regulatory Assurance
• Internal Audit
• Governance Committees
• Emerging Risks

• Dashboards
• Visualization Solutions