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Hays are recruiting for a Quantitative Risk and Stress Test analyst to join a leading Investment Bank in London. You will help provide analyses to Risk teams as well as other stakeholders in the bank. As a team, Credit, Market and Counterparty risk analytics are worked on to measure risk appetite and increase capital. A skillset which will be useful in this role will be stress testing relating to ICAAP.
Duties will include; Expansion of regulatory and internal stress scenarios in collaboration with global modelling teams, Calculation of (predominantly credit risk related) stress losses for UK legal vehicle portfolios (margin, commercial real estate, and export agency finance loans; residential mortgage and asset backed securities; and government securities) in collaboration with global modelling teams; Model testing and documentation, ensuring global models are appropriate for UK legal vehicle portfolios; and Documentation of quantitative results, providing insightful narrative on stress scenarios and losses, in ICAAP document.
Graduate degree (preferably PhD) in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required
Experience in financial services sector, in roles requiring superior problem solving analytical capabilities; must include experience across multiple risk stripes
Experience in developing macroeconomic/market stress scenarios (e.g., Okun's Law); and familiarity with relevant regulatory guidance, including IFRS9 based ICAAP credit stress loss methodologies
Knowledge of / ability to code in Python and/or SAS is required