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. Our client’s well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.
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.
In the context of the Targeted Review of Internal Models (TRIM) for Counterparty Credit Risk, the team is actively engaged in developing and rolling out new analytics to address a number of supervisory Obligations. In parallel with this, the team is working on a strategic development to the bank’s Counterparty Credit Risk system platform.
The team requires from Quanteam UK excellent programming skills to help deliver new analytics, contributing both to TRIM and the new strategic platform development. Parts of the analytics developed will run within a Production environment and parts will be used exclusively for off- Production analyses. We will have a key role in facilitating the running of the analytics in a Production environment in close collaboration with our client in the RISK Systems team.
Working in close partnership with the team's quantitative analysts and developers, RISK Systems personnel and FO quantitative teams, Quanteam UK consultant will be expected to: