Description
The opportunity to work in the Incremental Risk Charge Methodology team in the area Credit Analytics of Chief Risk Officer division. This team is responsible for the bank's Incremental Risk Charge methodology and works closely with the Credit Economic Capital modelling team.
This challenging role leading the Incremental Risk Charge Methodology team includes:
- Taking full ownership of the model including both technical and business liaison aspects (eg dealing with internal and external stakeholders and regulators on the model).
- Researching, developing and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle.
- Contributing to methodology development in related areas, in particular the Credit Economic Capital model, and being available as a senior credit quant resource within the Risk Division.
- Regular interaction and visibility with a wide range of stakeholders across the Bank, particularly from Market Risk Management, Front Office, Reporting, IT and Regulatory Coordination.
- Responsibility for the IRC methodology team.
Requirements
- PhD or Master's degree in a quantitative subject, ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.
- Solid understanding of risk modelling in credit risk and/or financial markets in general.
- At least 4-6 years' experience in the financial services industry.
- Work experience in credit risk modelling, ideally in Incremental Risk Charge or credit portfolio methodology.
- Understanding of the Basel II Accord and the background to the IRC requirement.
- Team leadership experience.
- Ability to communicate logically and precisely, including writing rigorous and clear model documentation.
McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.