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Stress Testing and Portfolio Risk

Salary Competitive
Type Permanent
Location Rio De Janeiro
Job Reference EU01/NXW/34317
Contact Nick White
Date posted 31-07-2020

Primary Responsibilities

• Lead the design and execution of cross risk stress testing activities (together with specialists from risk teams in Frankfurt, London and Budapest)
• Lead Risk Division’s contribution to group wide capital or stress testing related exercises, including ICAAP, ECB Stress Testing and Recovery and Resolution Planning
• Lead the continuous development of relevant methodologies for economic capital and stress testing as well as relevant production processes
• Contribute to the ongoing maintenance of the Group’s Risk Strategy and Risk Appetite Framework
• Coordinate the quarterly Risk ID process of the Group
• Coordinate the setting of portfolio level limits in line with the Risk Appetite
• Develop and deliver MI on portfolio risks and stress testing and participate in relevant committees
• Maintain relevant policies and procedures (e.g. for Risk identification, Stress testing, ICAAP)
• Ensure compliance with relevant regulations and lead the efforts on self-assessments
• More broadly, the role holder will contribute where appropriate to regional or global Risk Division initiatives, projects, and home or host regulatory requests.
The role will report to the Head of Risk Control and Stress Testing in Frankfurt. The role holder will be supported by personnel in the Budapest, London and Mumbai Risk teams.

Skills Required

• Bachelor degree or equivalent, ideally in Finance, Economics, Financial Mathematics or similar
• Significant work experience in the area of financial risk management (either from working in banking or management consulting), ideally in a capital markets context
• Strong understanding of ICAAP and Stress Testing concepts
• Experience executing relevant change initiatives (e.g. design and implementation of new

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Contact Nick about this job

Associate, Consultant