Purpose of Department

WMR team within the Wholesale Credit Operations CoE, currently based in GSC Bangalore provides support to a number of Risk managers in the Group. The team has four main components:

Credit Risk Control Market Risk Control Market Data management for Risk Model Calibration Country Risk Unit

The team undertakes a number of tasks, including

Management and monitoring of counterparty and market risk limits in trading system. Analysis and reporting of market risk calculations to traders, risk managers, senior management and regulators. Management of market data and generation of risk model parameters such as VaR, PFE, EEPE. Credit Risk systems reconciliations. RAVEN on-boarding and trading docs maintenance. Cross-border risk reviews and underwriting, excess management. Calculation and earmarking of risk in our credit and market risk systems as required. Review, validation and improvement of risk calculation and management models. Collation of Risk related MI and preparation of Stress Testing and Back testing governance committee packs.

Job Description

The stress testing teams in Bengaluru works with Traded Risk Control and WMR Stress Testing teams based in London to carry out the following key tasks:1. Supporting stress scenario calibration maintenance and documentation2. VBA tool development for automating and streamlining traded risk control functions3. Ensuring timely and accurate upload of scenarios to the risk engines4. Ensuring timely and accurate aggregation of stress testing results computed by the risk engines5. Supporting analysis needed for Senior Management reporting for counterparty risk and credit risk.

Skills/Experience Required

Required Good at MS Excel and VBA At least 1 year experience in counterparty risk or market risk analysis for any of the following functions: audit/finance/risk At least 2 year experience working with a large financial institution or a ratings agency Understanding of risk factors used to price traded products would be a plus Macroeconomic knowledge will be a plus A degree in a quantitative field

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