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We Offer The Economic Risk Capital (ERC) methodology team is part of Quantitative Analysis and Technology (QAT) unit in Chief Risk officer (CRO) division. In our team you will have the opportunity to play a central role in the development of an 'outstanding' Economic Capital model. The ERC Non-Position Risk (NPR) modelling team is responsible for developing the methodology for many components of the bank's Economic Capital model. Key Responsibilities:
Understanding the Economic Capital (ERC) measure and its various components
Developing, improving and maintaining economic risk capital models (e.g. Pension risk, Business/Expense risk, FX Translation, Own Real Estate, etc.)
Actively seek solutions to improve material parts of the model, review and improve component, identify the relevant sources of risk and assess their capture
Researching alternative methodologies and comparing them; rationalizing and testing the chosen option
Ensuring that the models adhere to internal and external policies/guidelines and pass model validation;
Documentation of the models following internal and external standards (e.g. validation, SR 11-7), also ensure models are BCBS 239 compliant
Collaborating with quant developers and IT analyst to implement changes to the model
Establishing processes to monitor the models to ensure they remain fit for purpose
Presenting to senior management and ensuring that model risk, technicalities, change impacts etc are well understood;
Support embedding ERC into critical management processes of the firm, including financial planning, strategic planning, risk appetite setting, assessment of new businesses/material trades, and ultimately performance management.
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
You have at least 6+ years of experience in methodology development projects, or a quantitative risk measurement role in a financial institution
You have an experience in Treasury risk, IRRBB, PPNR/CCAR, etc. modeling is desirable; previous Economic Capital experience is desirable
You have previous experience in leading methodology development projects and supervising quantitative analysts would be an advantage
A degree in Statistics, Econometrics, Data Science, Quantitative Finance, or Financial Engineering is preferred; accounting knowledge is desirable;
Professional qualification e.g. FRM, PRM, CFA, CA, CQF would be an advantage;
Python, VBA, R or SQL knowledge is an advantage
General knowledge of risk issues and investment products
Experience in methodology documentation is highly valued
Ability to work collaboratively in a global team, handle work and build positive relationships
Positive attitude, good written and verbal communication and presentation skills;
Ability to produce high quality, accurate work, under tight deadlines
Willingness to take responsibility, challenge the status quo and ability to provide alternative solutions.
You 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.