Description
SAS MIP/Stress testing Consultant - London - 3 months +
Square one are looking for a SAS MIP/Stress testing Consultant to come on board for a 3 month rolling contract based in Central London.
Key Responsibilities:
- Assist financial services clients in implementing solutions to address qualitative and quantitative modelling requirements around risk and capital management
- Perform as a SME in Model Risk Management are with focus on stress testing model development and validation in regulatory compliance areas, especially IFRS9, CCAR and DFAST
- Provide expertise on latest trends within regulatory compliance and support development of Intellectual Property in risk and compliance space
- Project management & End to End delivery of Stress Testing program
- Support pre-sales activities
Required Skills
- Domain Skills
- Deep knowledge of the following regulatory areas - CCAR/DFAST, IFRS9, Basel with focus on stress testing
- Well versed in different methodologies for Credit Risk Modeling - PD/LGD/EAD for retail as well as wholesale portfolios
- Experienced in PPNR modelling
- Experience in model development, validation and documentation especially for regulatory compliance
- Functional Skills
- Well versed with Quantitative Finance, Time Series Analysis, Statistical Analysis & Modeling, Risk Management, Business Analysis
- Knowledge or familiarity with coding in Excel, SAS, R, Matlab, and/or VBA
SAS Technical Skills
Base SAS
Advance SAS
SAS VA
SAS MIP (most important)
SAS Risk Dimensions
- Business and technical architecture skills
- Business writing skills such as documentation of Business Requirements and Functional Requirements
- Functional specifications
- Model development and validation documentation experience
- Some data management skills
- Ability to support custom implementation and/or vendor implementation programs
- Project and people management experience
SAS MIP/Stress testing Consultant - London - 3 months +