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Director, Credit & Risk Management
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|Sector||Credit & Risk Management|
Large International Bank seeking a Quant Economic Capital Modeler to join their Enterprise Risk team in London.
Own and drive the capital adequacy stress testing processes including the formation of stress scenarios, the quantification and analysis of macroeconomic parameters, financial shocks and rating migrations.
Develop/enhance stress testing methodologies for Capital Markets and Wealth Management.
Develop/enhance and embed methodologies for quantification of Economic Capital requirement for Market, Credit, Operational and Concentration risks for RBC Europe Limited and, where necessary, for IS Bank.
Oversee the development and production of risk reporting for various committees including ALCO, UK LRMC, Risk Committee and Wealth Management risk committees with a view to automating/streamlining existing reporting process. This involves managing and providing training to junior members of the team
Key Skills/ Experience
Programming experience in R, C++, or SAS
A good first degree in a Finance/Economics or other quantitative disciplines
Solid risk management experience, ideally in a stress testing , capital management or modelling role
Excellent quantitative skills with demonstrable experience of financial modelling
Good understanding of concepts pertaining to ICAAPs, Pillar 2 and Economic capital
For applications or enquiries, email Aaron.Crowley@BruinFinancial.com
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