RMD - Modelling Group Quantitative Analyst - AVP - 8328

  • Sector: LMA UK Finance & Accounting
  • Contact: Tabitha Wonga
  • Contact Email: Tabitha.Wonga@lmarecruitment.com
  • Client: LMA
  • Location: London, Greater London, England
  • Salary: Up to £80000.00 per annum
  • Expiry Date: 15 September 2021
  • Job Ref: BBBH187639_1629111884

Quantitative Risk Analyst - AVP

Our client, a mid-tier London-based Bank is looking for a VP level candidate to join their Credit Risk Team.
They offer services such as customer facilitation, broking and trading in primary and secondary debt and equity securities and an extensive range of over-the-counter derivatives contracts. They also have a corporate advisory group.

Purpose of Job
· Support the Senior Quantitative Analyst on tasks related to stress testing calculation and produce model methodology documentations that comply with regulators' and audit requirements.
· Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital.
· Participate in ICAAP workflows, support model enhancements of Climate Risk models.

Duties and responsibilities
· Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital.
· Develop and enhance stress testing calculation for Pillar 2B including IFRS 9 models and produce credit stress testing methodology documentation that comply with regulators' and audit requirements
· Support the enhancement of the climate risk modelling and handle questions in the independent model validation exercise.
· Participate on various ICAAP workflows including risk tolerance set up, stress testing calculation, and/or as instructed by management
· Participate in the production of stress testing methodologies for the Bank's portfolio; ensure existing methodologies are appropriate and up to date; and ensure documentation is accurate and comply with the latest regulatory and audit requirements
· Actively participate in producing appropriate stress scenarios, stressed parameters and models for their capital planning within the ICAAP framework
· Support the Senior Quant in producing relevant analysis and material to various Risk Committees.

Knowledge, Skills, Experience & Qualifications

· Experience in credit risk analytics or quantitative research within financial services.
· Understanding Basel III and regulatory capital requirements for banking industry
· Proven problem-solving skills using logical reasoning and analytical methods
· Working knowledge of SQL and other programming language (R, SAS, Python etc.)
· Excellent Excel and Access Skills
· BSc/MSc Degree in a quantitative field (Finance, Mathematics, Economics, Engineering etc.)