Econometric Modeler - BFSI

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.