A major global bank is looking to hire a quantitative analyst for its Risk Analytics team.
Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital, portfolio optimisation and obligor selection for hedging purpose
Develop and enhance stress testing calculation for Pillar 1, Pillar 2B, Reverse Stress Testing or other ad-hoc purpose and produce credit stress testing methodology documentation that comply with regulators' and audit requirement
Perform local IRB model validation and on-going monitoring of model governance and ensure model validation report are updated regularly to the quality expected, and comply with the latest regulatory requirements
Support the enhancement of the IRB model governance to comply with all CRD IV requirements such as independent validation and documentation
Participate on various ICAAP workflows including risk tolerance set up, stress testing calculation, or as instructed by management
Produce stress testing methodologies for the portfolio; ensure existing methodologies are relevant 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 capital planning within the ICAAP framework
Experience in credit risk analytics or quantitative research within financial services.
Master's Degree in a quantitative field (Finance, Mathematics, Economics, Engineering etc.)
Understanding Basel III and regulatory capital requirements for banking industry
Proven problem-solving skills using logical reasoning and analytical methods
Advanced knowledge of Excel, working knowledge of SQL and one other programming language (R, SAS, Python etc.)
Internal Number: 6284807
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