The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies.
Within ERA, the team’s mission is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities. The team is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by two architects responsible for ensuring consistency across methodological research and development activities.
The team’s remit includes all the IMM models in use within the Bank, such as VaR / ES, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.
Project & Responsibilities
The principle requirement of the role is to carry out quantitative analysis of potential market risk model changes proposed in the context of regulatory or business requirements. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Implementation in the joint Risk and Front Office (FO) Library, documentation and presentation of results are integral parts of the task. General understanding of the wider market risk modelling framework, in addition to strong C# and writing skills are thus required.
Accordingly, the role does require a solid quantitative background in market risk (preferred) or derivative pricing. Continuous interaction with other teams in RISK and FO will call for strong communication skills.
Working in close partnership with quantitative analysts within the team, analysts with Risk Systems and FO quantitative teams, as well as other stakeholders in RISK and FO, the successful candidate will be expected to:
To be successful in this role, the candidate should meet the following requirements:
This role will expose the candidate to a wide range of professionals within the bank. Accordingly he/she will also require good communication skills (both written and verbal) and the ability to work as part of a multi-disciplinary team.