Credit Risk Quantitative Analyst

Incremental Risk Charge (IRC) methodology and calculation. The IRC is a regulatory capital charge for credit risk in the trading book. It requires an internally designed calculation that must meet regulatory standards.

- Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle. This includes adjusting model parameters, dealing with performance issues, and scheduling a formal IT update cycle.

- Liaising internally with risk managers and Front Office clients, including explaining day-to-day movements, performing ad-hoc analysis and answering technical or background questions on the model and requirements.

- Work closely with the credit Economic Capital team on methodology aspects.

- Work with Risk IT who implements the methodology.

- Produce analyses required for regulatory reporting and analyses requested by regulators

Pedigree:

- Advanced / Master's degree in finance, mathematics, econometrics, engineering or other quantitative subject is a must

- Familiarity with programming (preferably in R) and understanding of IT implementation / infrastructure, as this role needs to liaise with Risk IT.General understanding of regulatory risk landscape and familiarity with BASEL 2/2.5,3

Working experience in quantitative risk management in financial services