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We Offer The Risk Division is a highly visible, dynamic area of the firm where you can be an integral part of the decision making that supports the bank's business. Our responsibilities range from Enterprise Risk management to risk and finance reporting, and regional risk teams covering the risk management for our entities. The Risk division's long-term success depends on our ability to achieve our vision and fulfil our mandate. Ultimately, this depends on the skills, experience and engagement of our employees. We offer a collaborative and ambitious environment that offers direct contact with senior management and encourages leadership at all levels. The Quantitative Risk Analytics team sits within Central Market Risk Models & Methodology and reports to the Chief Risk Officer. It is responsible for:
Developing and implementing models to quantify market risk.
Calibrating the Stressed VaR (SVaR) window for all legal entities.
Conducting regular assessments of VaR model performance at entity level and for selected business divisions
Implementing the strategic IT infrastructure for FRTB calculations.
Making sure that all models and implementations adhere to regulatory guidelines in CRD IV/V, TRIM2 and FRTB.
Documenting models and analysing outputs.
Establishing policies and processes covering market risk.
We are a department that values Diversity and Inclusion (D&I) and are committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
Conduct periodic SVaR window calibrations and identify risk and portfolio drivers for SVaR window changes.
Liaise with asset class model owners to validate appropriate behaviour of models in the stressed period and identify and address data insufficiencies
Evaluate the capital impact of new SVaR windows and communicate these to business divisions, capital management and regulatory risk management.
Review the the SVaR window calibration model to ensure it remains fit for purpose under internal and forthcoming regulatory requirements.
Collaborate with the data, IT, and change management teams to ensure that model changes are appropriately project-managed for implementation.
Ensure that all outputs of the SVaR window calibration are documented for both internal and regulatory purposes, and you explain them to Senior business partners
Collaborate closely with the model validation team to understand validation results and remediate concerns where necessary.
We want you to contribute your interpersonal skills to our team.
Understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work. This should be further elaborated on in your application.
Degree in a highly numerate subject and an Advanced degree (PhD, Masters or equivalent) is desirable.
You will have cross-asset risk modelling experience and strong portfolio analytics skills.
Experience in quantitative risk analytics within an investment bank or, more broadly, with experience in a quantitative role within finance.
It is essential that you have a good understanding of VaR and SVaR models.
A strong background in financial mathematics is essential. In addition, you have good programming skills, ideally in Python and C#. Communication skills are also essential.
You are able to explain complicated concepts clearly to all members of staff, and present their proposals in a clear and detailed manner to senior management and regulatory bodies, both verbally and in writing.