Responsibilities:
- Review and challenge the stress testing process, applying your strong leadership, stakeholder management skills and apply both your Credit and Market expertise across the bank.
- Apply your analytic expertise on both Loss Models and Scenario Models in order to support the firmwide stress-testing program - an integral function in producing business results.
- Carryout annual reviews and in-depth analysis of the banks programs - Regional (legal vehicles), country, Market trading/ non-trading, Credit wholesale/ retail, Counterparty, and liquidity risk.
- Ability to analyse and evaluate stress-test results and action your findings in a timely manner g. limit setting.
- Assist the Quants, Risk and IT teams in the design, development and implementation is engines for analytic purposes for all product lines.
- Execute a thorough analysis into detailed technical documentation reports in order to meet regulatory guidelines and exceed industry standards.
- Provide reports and communicate these findings to audiences across all levels (technical/non-technical) and ensure robust plans are defined, implemented and actioned to mitigate risk and any issues that can impact the bank.
Qualifications:
- MSc or a PhD in Finance, Economics, Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
- 6-10 years' experience industry experience in risk analytics, including credit, counterparty, market, liquidity risk, model validation or model analytics.
- 5+ years of Quantitative experience.
- Experience in developing macroeconomic and market-driven portfolio loss models, with familiarity on the relevant regulatory guidance (CCAR/DFAST process)
- Proven track record in scenario design and developing scenario expansion models.
- Proficient in SAS, Python, R, SQL, Excel, capable of building and testing prediction models, handling large data sets and for analysis purposes
- Knowledge of risk appetite, limit setting, banking book/ trading book products and risk management practices
- Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
- Demonstrated project management and organisational skills and capability to handle multiple projects at one time
- Previous experience managing a team and supporting/developing junior members of the team.
- Strong communication skills and previous stakeholder experience