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Senior Quantitative Analyst & Lead Analyst - Stress Testing

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Senior Quantitative Analyst & Lead Analyst - Stress Testing

  • Location:

    London

  • Sector:

    LMA UK Credit, Risk and Quantitative

  • Job type:

    Permanent

  • Salary:

    £110000 - £130000 per annum

  • Contact:

    Nikolai Balzer

  • Contact email:

    jobs@lmarecruitment.com

  • Job ref:

    BBBH188286_1632243568

  • Published:

    30 days ago

  • Expiry date:

    2021-10-21

  • Startdate:

    ASAP

  • Client:

    LMA

Job Duties

  • Develop and execute macroeconomic scenario expansion models for the EBA stress test, covering the latest climate risk scenarios.
  • Model development and execution in SAS/Excel covering a range of modelling techniques.

  • Delivery of model documentation to articulate the scenario expansion and forecasting methodology.

The candidates are required to have sound knowledge in the following models:

  • Macroeconomic scenario expansion
  • Climate risk modelling (physical and transition risk)
  • Credit risk PD and LGD models (RWA and IFRS9)

Skills Required:

  • A minimum of 5-6 years' experience within a financial services institution or consultancy in a model development or validation function.
  • A Masters or PhD degree in a quantitative discipline such as Financial Engineering, Econometrics, Mathematics, Data Science, Mathematics, Engineering or Physics;
  • Preferably a professional qualification such as CQF, PRM, FRM or CFA.
  • Hands on experience working on SAS and Excel is essential.
  • Hands on experience with Python is desirable.
  • A strong understanding of the ECB and EBA regulatory stress testing exercises, including the latest changes pertaining to climate risk scenarios.
  • A strong understanding of forecasting techniques for scenario expansion such as proxy mapping, linear/cubic spline interpolation and multivariate regression for macroeconomic variables, interest rates, equity prices, FX, commodity prices and credit spreads.
  • Strong understanding of climate risk modelling pertaining to physical and transition risks.
  • Strong understanding of PD and LGD models for RWA and IFRS9 provisions computation (linked to underlying macroeconomic variables).
  • Strong understanding of the key stages of the model lifecycle.
  • Ability to interrogate and manipulate large volumes of data.
  • Ability to liaise with technical teams to ensure that deliverables are met in accordance with project timescales.
  • Strong communication skills and ability to describe model outputs to a technical and non-technical senior management audience.
  • Excellent analytical and creative problem solving skills.
  • Ability to write coherent model development and procedures documentation and provide training to support adoption of changes and embedding within the business.

Qualifications:

  • Master's or Bachelor's degree in Finance, Economics, Econometrics, Engineering, Science, Financial Engineering, Statistics, Mathematics or Data Science.
  • CQF, FRM, PRM or CFA preferred.