AVP - Incremental Risk Charge - Credit Risk Quantitative Analyst - BFSI

AVP- Incremental Risk Charge (Credit Risk quantitative Analyst)

Job Responsibilities :

- Opportunity to work in the team that owns the 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.

Skills and Abilities :

- Advanced / Master's degree in finance, mathematics, econometric, engineering or other quantitative subject. Candidates from other streams who are able to demonstrate solid quantitative understanding to be able to understand the IRC framework in depth are welcome to apply as well

- Some working experience in quantitative risk management in financial services would be an asset.

- General understanding of regulatory risk landscape and familiarity with BASEL 2/2.5,3 is advantageous.

- Ability to communicate logically and precisely, including writing extended documentation

- Familiarity with programming (preferably in R) and understanding of IT implementation / infrastructure, as this role needs to liaise with Risk IT.