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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.
Develop and improve current stress testing framework and methodology and ensure they are aligned with regulators and appropriate for internal risk management
Actively participate in the Model Validation work to improve current stress testing methodology in particular CCAR
Driving Regulatory framework changes relating to Stress Testing; working closely with Business and Senior Management to ensure fit for purposes methodologies for key portfolios of interest.
Design methodology to calculate scenario exposure for both the trading and banking books in the context of LPA, ICAAP, and IWST.
Lead key partners (e.g. Senior Management, Credit Risk Managers, and Enterprise Risk Management) by answering their requests, assuring an efficient cooperation within different departments, maintaining a strong communication and by explaining at a suitable level movements and drivers of the various models and approaches used within Counterparty Credit Risk.
Support the strategic scenario infrastructure initiative; define and document business requirement for counterparty credit risk stress testing for strategic implementation
You should be able to communicate the risks of a trade or a portfolio in a clear and concise manner (both written and orally). Key clients of the Scenarios Execution team are Credit Risk Management (CRM), Front Office and Regulators. We are seeking a quantitative analyst with excellent technical skills and some prior experience of quantitative credit risk and derivatives products.
Understand the value of diversity in the workplace and is 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.
Bachelors' or Master's degree in quantitative or relevant discipline preferred.
Outstanding technical skills, deep knowledge of derivative products with relevant banking/financial products experience and credit risk.
Proficiency of external regulations and their impact on stress test methodologies and business portfolios
Knowledge of database and mainstream programs (Access/Excel) and some programming skills (VBA, C++, etc.) is an advantage
Outstanding analytical skills, problem solving skills in a banking, financial markets or consulting environment.
Outstanding written and verbal communication skills, with an ability to explain analytical issues and synthesize complex analyses in a form that is appropriate for management interactions
You are ambitious, hardworking who can work on own initiative whilst also working collaboratively and deliver on time with a high level of integrity, sense of urgency, attention to detail and quality standards