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ICAAP Quant Analyst/Risk Modeller - Wholesale

London  ‐ Onsite
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Keywords

Asset Capital Finance Documentation Physics Mathematics Negotiation Financial Services Credit Risk

Description

ICAAP Quantitative Risk Analyst/Modeller sought by leading investment bank based in Canary Wharf/
remote.

*Via Umbrella/PAYE Only*

The team

The team develops credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing, and loan loss reserve processes.

Job description

The core activities of this project are to coordinate and in certain instances execute:

  • variable expansion of regulatory and internal stress scenarios in collaboration with global modelling teams, ensuring applicable parameters of risk models are shocked appropriately for German legal vehicle portfolios;
  • calculation of (predominantly credit risk related) stress losses for German legal vehicle portfolios (margin, commercial real estate, and export agency finance loans; residential mortgage and asset backed securities; and government securities) in collaboration with global modelling teams;
  • incremental model testing and documentation, ensuring global models are appropriate for German legal vehicle portfolios; and
  • documentation of quantitative results, providing insightful narrative on stress scenarios and losses, in ICAAP document.
  • Adopting a Business Requirement Document (BRD) on the strategic ICAAP solution (IT build out etc.), based on an existing BRD from UK. This will involve interaction with senior stakeholders in Germany in order to align the requirements, and discussion/negotiation with the global teams supposed to deliver the strategic solution

    • Qualifications

    • Graduate degree (preferably PhD) in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required
    • 10+ years of experience in financial services sector, in roles requiring superior problem solving analytical capabilities; must include experience across multiple risk stripes
    • Experience in developing macroeconomic/market stress scenarios (eg Okun's Law); and familiarity with relevant regulatory guidance, including IFRS9 based ICAAP credit stress loss methodologies, impairment staging rules, minimum coverage ratios, etc.; are strongly preferred

    Please apply within for further details or call.

    Alex Reeder

    Harvey Nash Finance & Banking

    Start date
    ASAP
    Duration
    9-12 months
    From
    Harvey Nash IT Recruitment UK
    Published at
    06.03.2021
    Project ID:
    2063997
    Contract type
    Freelance
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