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Development of econometric models (e.g. simulation techniques such as monte carlo, time-series and panel regression, extreme event analysis) for economic capital or stress testing purposes
Using model outputs to drive business planning/pricing, and engaging with business representatives to understand and deliver quantitative modelling support as required
Responding to technical queries from internal stakeholders and external bodies such as regulatory bodies
Assist with the execution of projects including EBA stress tests or the production of internal financial reports such as the ICAAP
Minimum level bachelor's degree in a quantitative analytical discipline such as mathematics, applied mathematics, physics, statistics, engineering, econometrics
Relevant industry experience developing financial models such as for stress testing, economic capital, IRB, IFRS9, etc
Advanced knowledge of SAS for statistical/econometric modelling purposes
Reasonable knowledge of European regulatory and/or accounting standards in respect of at least one of IRB, IFRS 9, loss forecasting, stress testing and/or economic capital modelling would be advantageous
Knowledge of relationship between planning, stress testing, recovery planning, and economic capital would be advantageous (i.e. the loss distribution)
Internal Number: 5642255
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