Role:
Quantitative Scenario Generation
Business Function:
Enterprise Risk Management
Reports to:
Head of Scenario Analysis Business Division:
Enterprise Wide Risk
Deliverables:
- Address macroeconomic questions using quantitative techniques.
- Development of multi dimensional stress scenario engine using macroeconomic, statistical/mathematical techniques.
- Provide views on current economic outlook, communicate macro developments verbally/presentations.
- Communicate with key stakeholders rationale for scenario profiles linking with intuition, economic theory, current economic environment.
- Liaise with Senior Risk, Finance, Treasury representatives to discuss stress scenario themes, narratives, parameterisation & revise stress test library.
- Support development of structural models, statistical models/tools.
- Support production of fully parameterised macroeconomic scenarios for assessing capital adequacy, and testing risk appetite setting for businesses and the bank.
- Design & develop clearly articulated Senior Executives & Board scenario communication pack illustrating rationale for selecting stress scenario, scenario profile & severity and parameterisation.
- Support development of scenario severity assessment tools & parameterisation methodology/approach and develop documentation.
- Support strategic stress scenario generation initiatives, as and when required.
Experience/ Qualifications:
Essential
- The candidate sought will be an econometrician/macroeconomist with quantitative focus from a think tank, consultancy firm, international organisation, central bank, bank, buy side or sell side firm.
- Master's Degree or PhD in quantitative subject such as Economics/Econometrics, Mathematics, Statistics.
- Strong grasp of macroeconomic theory and applied econometrics especially time series. Proficiency with Eviews and good knowledge of Matlab a plus. Strong programming or VBA skills
- Proven experience understanding and quantifying impact of major global macroeconomic risks.
- Strong quantitative skills in Economics or econometrics
- Some familiarity with structural models, such as NIGEM, or DSGE models desirable
- Strong competence in both Macroeconomic Theory and Time Series Econometrics (VAR, Cointegration
- Experience in advanced statistical modeling and coding in one or more of the following environments: SAS or Matlab; VBA, Gauss, or Stata also considered.
- Analytically minded with good financial and business acumen.
- Excellent communication and interpersonal skills
- Understand and interpret complex business requirements.
- Familiarity with large datasets
- Experience in economic research, consulting and/or forecasting - regional coverage desirable UK/Europe/US/APAC
Desirable
- Regulatory experience would be an advantage but not essential
- Hold a degree in quantitative discipline such as Economics, Financial Economics, Econometrics, Finance/Accounting.
Other Significant Role Requirements:
- A strong verbal and written communicator,
Scope of Role:
The Scenario Generation Manager will interface with the following stakeholders or parties (Internal or External)
- Enterprise Wide Risk Management team
- Scenario Analysis team
- Other STARC teams (Execution, Process & Control, Analytics)
Technical Knowledge:
- Experience in advanced statistical modeling and coding in one or more of the following environments: SAS or Matlab; VBA, Gauss, or Stata also considered.
- Strong competence in both Macroeconomic Theory and Time Series Econometrics (VAR, Cointegration
- Strong grasp of macroeconomic theory and applied econometrics especially time series. Proficiency with Eviews and good knowledge of Matlab a plus. Strong programming or VBA skills
- Ability to deliver end-to-end project execution with minimal supervision and under significant time pressure
- Working knowledge of economics, development of stress scenarios and understanding of econometric techniques.
People Management:
- N/a
Financial Management:
- N/A
Risk Management:
2nd Line of Defence
- Actively consider the inherent, material risks of the business/ organisation. They should analyse the risk profile and seek confirmation that the risks are being appropriately identified. Assessed and mitigated to the desirable level (Risk Appetite).
- Establish and deploy robust risk and control frameworks which meet the strategic needs of the group, including communication, training and awareness.
- Provide Expert support and advice to the business on risk management. This includes interpreting and complying with the risk policy standards and risk management framework.
- Conduct suitable assurance to ensure 1st line compliance with policies/ responsibilities.
- Provide senior executive with relevant management information and reports, escalate concerns where appropriate.
Conduct Risk
To be accountable for ensuring you understand, uphold and promote the Conduct risk standard pillars:
- Employee Conduct
- Corporate Conduct
- Market Conduct
- Conduct towards our customers
- Operating Disciplines and Controls: Establish and maintain operations, controls, risk assessments and assurance programmes, monitoring of risk and controls to identify, assess and manage any material risks which may arise.
- Risk Culture: Set the tone from the top by promoting appropriate business and risk aware behaviours and requiring compliance with all statutory and regulatory requirements and Group policies
- Business Continuity: Ensure adequate Business Continuity plans are maintained and tested for Risk Substantiation and wider Enterprise Risk Management team.
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