Reporting to the Chief Risk Officer, the role is to ensure the completion of the bank's IFRS 9 project and continued ongoing observance. You will be a high standard performer that enjoys working in a dynamic and small team and you have the ability to work unsupervised, to tight deadlines and to withstand occasionally high pressure demands
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Quantitative Risk Analyst
£50000 - £70000 (Dependanty on experience) + Bonus + Benefits
Growing London operation of international banking group with global assets $20billion. The business comprises FX/MM, commercial and wholesale banking together with retail activities. No equity trading is undertaken.
Reporting to the Chief Risk Officer, the role is to ensure the completion of the bank's IFRS 9 project and continued ongoing observance. You will be a high standard performer that enjoys working in a dynamic and small team and you have the ability to work unsupervised, to tight deadlines and to withstand occasionally high pressure demands. The role will involve the following:
- Developing well-structured model documentation and robust testing procedures and executing the same;
- Statistical analysis of data sets;
- Simulation-based modelling using techniques such as Monte-Carlo and Markov processes;
- Excel Spreadsheet creation for semi-production environments;
- Data visualisation and selection of charts to ensure informed decision making;
- Review of Low Default portfolios such as HNWI, Corporate, CRE and Sovereigns;
- Impairment Calculations, Data Buffett, Risk Calculations, Risk Analyst and Credit Lens.
EXPERIENCE AND SKILLS REQUIRED
To be considered for this role you should meet the following criteria:
- Intermediate level graduate with 3 to 6 years' commercial experience
- Experience in a banking or financial institution, including regulatory calculations and production of management information and reports
- Capable of developing well-structured model documentation and robust testing procedures, and of executing same
- Intermediate statistical analysis of data sets - percentiles, QQ plots, expected shortfall, ANOVA, etc.
- Direct experience of simulation-based modelling approaches including Monte-Carlo techniques, Markov processes and transition matrices
- Skilled with Microsoft Excel, including creation of spread sheets with embedded error checking for use in semi-production environments
- Skilled in the visualization of data, and selecting the appropriate chart types to inform decision-making
- Exposure to the "R" statistical analysis package and R-studio environment, and (optionally) the "tidyr" data cleansing package
- Exposure to data mining tools such as Tableau or Pentaho, or to associated code libraries such as Pandas (in Python) is desirable
- Exposure to Low Default portfolios such as HNWI, Corporate, CRE and Sovereigns as retail portfolios brings about quite a different skillset and mindset in general.
- Moody's Exposure with respect to the following: Impairment Calc, Data Buffett, Risk Calc, Risk Analyst and Credit Lens
- Good communication skills, and the ability to explain technical matters in business terms to a non-technical audience
- Consistent high quality output and performance. Ability to contribute positively to small, close team and establish good working relationships with relevant parties and colleagues.