Portfolio Risk Aggregation Design Director

The mandate

This five-month commission will design and test portfolio risk aggregation where individual measures are available but dependence, horizon, netting and concentration treatment do not produce a sufficiently transparent total. The Director must create an aggregation method and explanation bridge without forcing incompatible measures into false comparability. The project excludes risk appetite, position decisions and production operation after handover.

Named artifacts include a measure-compatibility inventory, common-definition and horizon protocol, dependence and tail method, netting and diversification rules, concentration diagnostics, uncertainty presentation, reconciliation bridge, challenger comparisons, test suite, pilot report and owner guide. Each aggregation choice must identify both mathematical premise and decision-use limitation.

The design must preserve non-diversifiable and nonlinear contributions that disappear under local approximations. It will also show when a portfolio total is directionally useful but unsuitable for limit, capital or stress decisions at a different horizon.

Four milestone dates apply: scope and compatibility diagnostic by 30 October 2026; methodology and challengers by 11 December; pilot, stress comparison and defect closure by 12 February 2027; internal reproduction and final acceptance by 26 March. A Portfolio Risk Committee accepts outputs after domain-risk and model-risk reviewers document challenge.

Acceptance requires internal analysts to reproduce the pilot, identify seeded horizon, unit and double-counting defects, compare alternative dependence assumptions and explain why diversification changes under stress. Any critical compatibility or lineage fault blocks sign-off; remaining limitations require owners and expiry or review dates.

Management provides approved component measures, positions, dependence evidence, risk-factor mappings, limits and timely methodological decisions. Consulting owns design, pilots and transfer; management owns risk decisions, appetite and reporting use. Component-model redevelopment, platform implementation, independent validation and recurring aggregation are excluded.

What you will own

• Determine which component measures can be aggregated and which require translation, separate presentation or explicit caveat.
• Align units, horizons, confidence meanings, valuation bases and scenario states before mathematical combination.
• Specify dependence, netting and diversification methods with sensitivity to stress and structural uncertainty.
• Expose concentration and common-factor effects hidden by pairwise or average relationships.
• Build reconciliation from component movement through mapping, dependency and aggregation change to total risk.
• Compare transparent and sophisticated challengers, identifying where complexity adds genuine decision value.
• Pilot the design with seeded incompatibilities and transfer it through independent internal reproduction.
• Enforce change control for component redevelopment, appetite, platform and recurring-operation requests.

Candidate qualifications

• Demonstrate quantitative risk aggregation across heterogeneous measures and changing dependence.
• Describe component measures you refused to combine until horizon or confidence meaning was reconciled.
• Show how stressed dependence materially reduced apparent diversification.
• Evidence identification of double counting or missing common-factor exposure.
• Provide a result bridge that separated portfolio movement from methodology change.
• Explain an internal reproduction test involving seeded compatibility errors.
• Show discipline when component redevelopment or platform build threatened project scope.

Working terms and boundaries

• The project fee covers five months, five days weekly and four milestone packages with formal acceptance.
• The Portfolio Risk Committee accepts after independent reproduction and closure of critical defects.
• Management owns component models, appetite, positions and decisions; consulting owns specified aggregation artifacts.
• Missing component evidence enters dependency control before any schedule adjustment.
• Model redevelopment, platform implementation, independent validation and recurring production are excluded.

Application

Applications for this mandate are received in one way only: through the India Board Terminal's application process. It is automated end to end. Your Executive Passport travels to the mandate holder in its confidential form, your answers to the three questions below are read before anything else in your file, and every stage that follows is recorded on your applications page.

There is no address to write to and no intermediary to call. The mandate holder reads what the Terminal delivers and nothing else, which is what keeps the process the same for every applicant and keeps your name out of it until you release it. Applications close on 12 October 2026. Mandate reference QNT-CON-2026-AKL-32.