Our client an independent, FCA and PRA authorised UK Bank offering unrivalled knowledge and experience of international finance and the Middle Eastern markets are looking for a Quantitative Risk Modeller to assist the Risk Management function in the day-to-day management of Credit, Liquidity, Market and Operational Risks in their London office
- Support the Second Line of Defence oversight of prudential risk.
- Assist in the production of Risk MI reports.
- Perform the regular stress testing and scenario analysis.
- Maintain and update the Bank's risk models.
- Develop existing ILAAP and ICAAP models.
- Build and maintain Excel files ensuring integrity of data and maintenance of an audit trail.
- Support the Head of Prudential Risk in risk management tasks and specific workloads.
- Perform forecasts of key liquidity metrics.
- Implement business strategy into risk models and project and report MI.
- Develop and design reports within Tableau and Quantitative Risk Management (QRM).
- Maintain and improve the Bank's IFRS 9 model, in R.
- Automate manual tasks within Excel through use of VBA.
Key skills and Experience:-
- The ideal candidate has experience working in Risk Management in the Banking Sector and is educated to degree level in Mathematics, Finance, Mathematical Finance, Financial Engineering, Computational Finance, Statistics, or related quantitative discipline. Master's degree desirable.
- Has a passion for designing and implementing risk models.
- Knowledge of liquidity risk and market risk, especially the LCR, NSFR, EVE, NII etc.
- Knowledge of the IFRS 9 and the process of calculating Expected Credit Loss.
- Experienced in implementing market risk, liquidity risk and FTP frameworks
- Awareness or interest in acquiring knowledge of PRA/CRD IV prudential rules.
- Be proficient in Microsoft Office incl. Excel and PowerPoint, SQL, Tableau. VBA desirable.
- Experienced in the programming language, R.
- Experience of QRM or similar ALM and Balance Sheet Management modelling tools desirable but not required.
- Enquiring mind-set.
- Enjoy working as part of a small team and autonomously.