We Offer

Capital modeler will assist the ORM (Operational Risk Management) team in a number of ways, including:

- Quantify regulatory and economic capital - based on historical and estimated losses with the usage of various statistical tools (e.g., S+, R statistics software tools)

- Capital allocation among business units - assist in allocation using statistical tools

- Execute internal and regulatory stress testing requirements producing stressed OpRisk loss and RWA projections

-Support in Operational Risk model development, maintenance and code testing

- Support the timely development of system tools (e.g. data manipulation tools, parameter estimation and visualization tools, convolution algorithms)

- Support the quality assurance (testing, documentation) on quantitative elements of the operational risk model to ensure internal/external approval.

- Support the collection and preparation of macro-economic data for the calculation of the required stress tests.

- Loss data analysis - collation, review and application to CS risk profile for modeling. Analyze internal and huge external database of losses and perform required data treatments.

- Scenario workshops - liaise with ORC Scenarios team which runs the process in which business experts quantify losses based on risk ratings, controls environment, metrics, etc.

- Projects/ initiatives - ad hoc assistance on Group or legal entity level ORC projects as required

- Reporting - prepare governance materials for ORM senior management and regulators

- ORM modeler will refine / develop some skills / expertise on the job including

- Understanding of regulatory requirements in ORM domain

- Model creation to forecast losses

- Scenario analysis

- Building statistical tools

- Advanced excel modeling Project management

You Offer :

- Degree in banking, economics, mathematics, or related engineering or scientific fields

- Deep knowledge of quantitative risk models, statistics, mathematical modeling

- Mathematical programming abilities (preference for R or S Plus statistical language)

- Prior experience working in risk-related roles in the financial industry

- Profound knowledge of operational risk capital modeling under Basel advanced measurement approaches.

- Research focus.

- Strong interest in operational risk management

- Proven ability to work productively in collaborative environments

- Front-to-back risk capital process know-how (data collection, model development, production and reporting) is an advantage.

- Proficiency in English (written and spoken)

- Result-oriented and strong assertiveness skills

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