Description
My client, a leading global bank, is looking to employ a stress testing quantitative analyst to join the finance team. This person will be responsible for the research, development and implementation of PPNR models. These models will be used for finance stress testing. The candidate will be employed on a long term contract basis in London.
Key skills/experience
- Post graduate degree (PhD/MS) in a quantitative discipline (Mathematics, Statistics, Physics, Engineering, Econometrics
- Very strong knowledge of statistics and experience in building models
- Interpret the BoE stress testing guidance and develop models compliant to this guidance as well as to the internal SCB Group standards and best industry practice
- Work with other functions including: Businesses, Capital, Group Finance, Liquidity, Independent Model Validation
- Efficient in RStudio/R, working knowledge of SAS EG
- Ideally working experience in PPNR CCAR models development, however candidates with strong statistical background and development experience across other areas (Stress testing PD/LGD/EAD, Economic capital, IFRS9, pricing etc.) will be considered
Allegis Group Limited and Aston Carter Limited operate Employment Businesses and Agencies and are companies within the Allegis Group Inc. group of companies, the fourth largest staffing company in the world, (collectively referred to as the "Allegis Group"). TEKsystems and Aerotek are divisions of Allegis Group Limited. Applicant data will be treated in accordance with the Allegis Group's Privacy Notice ). By submitting personal data to any company or division within the Allegis Group, the applicant is providing explicit consent to the use of such data by the Allegis Group and to the transfer of such data to and from the Allegis Group companies within the UK, Europe and outside the European Economic Area in connection with the fulfilment of the applicant's voluntary requests, and the fulfilment of other job opportunities that match the applicant's profile, and confirms that they may be contacted about such job opportunities.