ICAAP, Economic Capital & Stress Testing VP

  • Market Rates
  • London, England, United Kingdom
  • Permanent, Full time
  • RCQ Associates – Risk, Credit Analysis & Quantitative Specialists
  • 13 Nov 17 2017-11-13

A leading North American banking group is seeking an experienced ICAAP, Economic Capital and Stress Testing Manager to join their expanding team. The successful individual will be responsible for designing and implementing the risk framework and governance for the operating entities in Europe including Capital Markets and Wealth Management.

You will be involved in:

  • Responsibility and ownership of implementation & delivery of the Internal Capital Adequacy Assessment Process (ICAAP) to the bank’s regulated entities in the UK
  • Owning and driving the capital adequacy stress testing processes including the formation of stress scenarios, the quantification and analysis of macroeconomic parameters, financial shocks and rating migrations.
  • Developing/enhancing stress testing methodologies for Capital Markets and Wealth Management.
  • Developing/enhancing and embedding methodologies for quantification of Economic Capital requirement for Market, Credit, Operational and Concentration risks for the bank
  • Development and implementation of processes and frameworks relating to Stress Testing, in particular PRA Capital Adequacy Stress Testing and Reverse Stress Testing
  • Development, communication and implementation of risk and capital management policies across Europe including the development and implementation of risk appetite frameworks


You will have the following experience:

  • Strong risk management experience, ideally in a stress testing, capital management or modelling role
  • Advanced quantitative skills with hands on experience of financial modelling
  • Advanced understanding of concepts in relation to ICAAP, Pillar 2 and Economic Capital
  • A quantitative related degree


If you have relevant experience and would like to review a full copy of the job spec and discuss this further, please apply including contact details.