Stress Testing Analytics Role

Key Responsibilities

Model Development: Build, validate, and periodically update prototype stress testing models for Market Risk & CCR using Python, SQL, and MATLAB.

System Implementation: Integrate models into strategic risk systems (methodology design, prototyping, technical documentation, testing, and validation support).

Cross-Functional Collaboration: Partner with Treasury, Risk Methodologies (RMG), and Stress Testing Group (STG) to align models with business needs and regulatory standards (e.g., CCAR, Basel).

Subject Matter Expertise: Serve as the primary technical contact for stress testing models, supporting users and addressing validation/audit inquiries.

Regulatory & Strategic Support: Develop stress testing guidelines, conduct firm-wide impact analyses, and support Quantitative Impact Studies (QIS).

Model Governance: Participate in model reviews, parameter calibration, and ongoing model change management.

Required Qualifications

Education: Bachelor's or Master's degree in Quantitative Finance, Mathematics, Statistics, Economics, or related field.

Experience: 4-8 years in Market Risk or Credit Risk modeling, with exposure to stress testing/regulatory frameworks.

Technical Skills:

- Advanced proficiency in Python and SQL (essential).

- Experience with MATLAB, VBA, or similar analytical tools.

- Strong knowledge of financial products (bonds, derivatives).

- Quantitative Skills: Expertise in probability, statistics, calculus, and linear algebra.

- Regulatory Knowledge: Familiarity with stress testing regulations (e.g., CCAR, ICAAP).

- Collaboration: Proven ability to work with validation/audit teams and cross-functional stakeholders.

Preferred Qualifications:

- PhD in a quantitative discipline.

- Experience with cloud platforms (AWS/Azure) or big data tools.

- Knowledge of counterparty credit risk (SA-CCR, CVA) or market risk methodologies (VaR, FRTB).

- Experience with risk systems (e.g., MSCI, RiskMetrics, or in-house platforms).