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Quantitative AVP - Modelling Group

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Michael Page

2021-12-03 07:45:28

Job location Barkingside, Greater London, United Kingdom

Job type: fulltime

Job industry: Other

Job description

Corporate and Investment Banking Client

Job Description
Develop innovative solutions to enhance climate risk modelling and scenario analysis exercise.

Play a key role in the IFRS 9 impairment model design, development and validation work.

Develop and enhance stress testing calculation for Pillar 2B and Reverse Stress Test

Produce credit stress testing methodology documentation

Develop innovative solutions to model Climate risk and quantify its impact to the portfolio

Play a key role in the IFRS 9 impairment model design, development and validation work.

Participate on various ICAAP work-flows including risk tolerance set up and stress testing calculations

Actively participate in producing appropriate stress scenarios, stressed parameters and models for capital planning

Present and conduct relevant analysis and material to various Risk Committees

The Successful Applicant
Strong financial services track record with previous experience in a quantitative role

Experience working within credit risk essential - and sound knowledge of PD, LGD and EAD models

Strong knowledge of IFRS9

Good knowledge of capital planning and ICAAP frameworks

Experience working on stress testing and regulatory projects beneficial

Advanced modelling skills using VBA and additional skills in Python and/or C++ beneficial

What's on Offer
AVP level hire

Competitive salary and benefits package

Opportunity to join a growing team and business area

Contact
Tim Barnett

Quote job ref
JN-112535

Phone number

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