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Director, Head of Stress Testing

Selby Jennings
Manhattan, USA
USD144000 - USD225000 per year
Closing date
Dec 5, 2023

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
My client is a growing international investment bank looking to expand their US-base operations in NYC. The team is responsible for monitoring risks across their US business line, looking to add a new Director, Head of Stress Testing within their Risk Platform Management Team.

The group is responsible for creating stress testing scenarios across all risk exposures. They execute stress loss calculations based on CCAR scenarios and also create RWA forecasts. Part of the teams responsibilities include analyzing the capital impact of new business activity. In order to do this, this hire will build out a new framework for scenario design, stress testing, and capital impact/reverse stress testing analysis.

Responsibilities include:
  • Designing new stress scenarios aligning with changing market conditions and regulatory guidelines
  • Enhancing current stress scenarios and making improvements
  • Calculating stress test results for the Trade Book and using financial models to assess market and credit risk under adverse scenarios
  • Produce Stress Testing explanations to senior management/stakeholders
  • Scenario expansion for CCAR
  • Develop a new framework for calculating Basel III capital impacts

Qualifications include:
  • Comprehensive enterprise-wide view for developing a framework for stress scenario design
  • 6-10 years direct experience in Market Risk or Stress Testing
  • Quantitative modeling experience
  • Regulatory experience cross stress testing, including DFAST, CCAR, Basel III

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