Risk Methodology STA

 

We have a good position with a global financial service company in their Risk Methodologies Group (RMG). Looking for experience either in stress testing methodology or in counterparty exposure modelling.

Role:-

Define, test, document and implement methodology for stress testing shock scenarios for both  Market risk and Credit Risk

* Creating and maintaining model prototype with respect to the methodology defined above

* Lead the project related to stress testing analytics (STA) including but not limited to system   migration / new implementation.

* Work with Model Validation Group (MVG) to get the stress testing model validated (including any   model change on an ongoing basis)

 

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