VaR Stress Testing

London, England, United Kingdom

Primary job responsibilities include: 
The individual is expected to proactively highlight forward looking risks and build-up of concentrations in the UK Group portfolio and assess whether the risks are within the stated risk appetite. 

  • Supporting Senior team members in executing the framework for managing the aggregate portfolio risk and risk appetite for the UK Group including: 
  • Identifying, measuring and analysing the aggregate portfolio risk for the UK Group, including Market, Credit and Liquidity Risk, highlighting vulnerabilities across the portfolio. 
  • Assisting in the development of new methods to measure and manage cross-risk concentrations. 
  • Provide commentary and analysis on the main portfolio risk concentrations and vulnerabilities for periodic Risk packs submitted to the Executive and Board level committees. 

Skills Required 

  • Strong written and verbal communication skills, ability to distil technical information and present key facts. 
  • Good product knowledge of one or more asset classes, knowledge of VaR, stress testing. 
  • Strong academic background, with a degree in a quantitative subject. 
  • 3-5 years relevant work experience in risk management at a commercial bank, investment bank, or consulting firm. 
  • Proficient in use of Excel, VBA and SQL. 
  • Familiarity with regulatory environment. .