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.
- 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. .