Description
We are seeking a capital models manager to support the group operational risk team responsible for the advance measurement across capital requirements.
Successful candidates will be expected to be able to:
- Understand regulatory requirements and industry developments.
- Research statistical techniques applied to estimating operational risk loss distributions, correlations and allocating capital.
- Design and test alternative methods (using Mathematica or RiskSharp).
- Conduct statistical analysis of loss data (using Mathematica).
- Engage key stakeholders to support design, development and approval.
- Document methodologies and results.
- Guide and train business management on risk assessment and scenario analysis.
Operational Risk Analysis & Reporting:
- Support and validate Key Risk Scenario assessments by business management.
- Analyse loss experience, calculate model parameters, calculate loss distributions, correlations and capital requirements.
- Produce Management and Regulatory reports.
- Respond to changing reporting requirements.
- Support Medium Term Planning of capital requirements.
- Analyse model performance and conduct model validation.
Technical skills required:
- Highly competent in statistical analysis (eg data analysis, distribution fitting, Bayesian techniques, homogeneity analysis, correlation analysis, convolution of distributions, simulation techniques).
- Advanced Excel capabilities.
- Mathematica programming experience (or similar applications).
- Aptitude for research and development, being able to research advanced statistical techniques and adapt for model design.
- Excellent organisational skills to manage delivery of multiple tasks within agreed time frames.
- Strong networking and influencing skills to engage relevant stakeholders.
- Excellent communication skills, both written and oral, to document and communicate complex concepts in plain English.
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.