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Team is responsible for the development of IMM credit risk models for exposure calculations, credit capital calculations and and credit risk rating models (IRB) for risk management. This position will focus on IMM credit risk models.
* Developing IMM credit exposure methodologies, implementing and testing credit exposure models (initial Margin, cashflow spikes, Monte carlo convergence). * Liaise with IT on the enhancement of exposure methodologies. * Monitoring and enhancing various Risk frameworks; Backtesting, RNIMM etc. * Performing self-assessment for counterparty credit risk models remains complaint with regulatory requirements from PRA and BaFin for Internal Model Method (IMM). * Supporting regulatory disclosures related to IMM. * Co-ordinating regulatory responses with respect to the IMM methodology for both PRA and BaFin. * Supporting credit risk stress testing methodologies and framework. * Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in the systems. * Supporting annual model validation of the exposure models.
Skills required (essential)
* MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering. * Strong analytical and programming skills (Python). * Familiar with database and SQL. * Excellent communication, written, presentation and relational skills. * Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA. * Experience in a quantitative group at a commercial, investment bank or a consulting firm. * Statistical skills (e.g probability theory, time series) and familiarity with statistical packages would be desirable but not required. * Experience with Monte Carlo simulation and numerical analysis. * Experience with other programming languages (MATLAB, C++ and JAVA) would be a plus.
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.