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Stress Testing Model Analytics - Associate

Job Seekers United Kingdom Risk Management

Job Summary

  • London
  • Permanent
  • BBBH811560
  • Mar 30, 2022
  • Competitive
Job Description

Global investment bank seeks an Associate level Quant Analyst as part of their expanding Stress Testing Analytics function which enhances and develops stress testing models across risk disciplines.

The Stress Testing analytics is part of the Global Risk Methodologies Group has the mandate to develop / enhance stress testing models in line with internal and regulatory requirements/guidelines provided on Stress testing framework. The methodologies side of the group has the critical task of owning, developing and validating all the stress testing models that are used for computing capital adequacy and reporting for the whole firm under various regulator(s) provided scenarios or internal scenarios. The team works extensively on the regulatory capital model under stress scenarios for market and counterparty credit risk while also owning models pertaining to the construction and expansion of scenarios.

  • Work closely with the Risk Methodologies Group (RMG) and Stress Testing Group (STG) on the projects related to Stress Testing Framework.
  • Development and periodic update of proto-type models with special attention to the model related to Market risk and Counterparty Credit Risk.
  • Implementation of stress testing models into strategic risk system (this includes developing methodology, building prototype, writing technical business requirement document, performing model testing, ensure compliance with regulatory requirements and liaising with model validation group).
  • To act as a subject matter expert for the stress testing models and providing support to the model users (i.e. stress testing group/Finance) and be a key point of contact with respect to such models.
  • Work on the stress testing guidelines, perform firm wide analysis and to assess the impact of stress testing models.
  • Create strategic tools for stress testing models using python and migrating to GITLAB.
  • Participate in periodic review of models and calibration of model parameters.
  • Provide necessary support to Model validation group/Audit team during validation of stress testing models including any model change on an ongoing basis.

§ Relevant years of experience either in Market risk or Credit risk with good understanding of risk modelling.

§ Good understanding of mathematical concepts like probability, statistics, calculus, linear algebra.

§ Good knowledge of Python, SQL, Matlab, VBA.

§ Good understating of financial products (Bonds, Derivatives)

§ A strong Mathematical/Statistical background.

§ Actuaries (Cleared at least 3 CT papers) would be advantage

§ FRM/PRM/CFA certification would be added advantage.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant | Risk Management Recruitment
  • +44 (0)20 7092 0103
  • ariedl@morganmckinley.com