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Enterprise Risk - Economic Capital Quant Modeler

Salary £100k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/AXC/27370
Contact Aaron Crowley
Date posted 06-11-2017

Large International Bank seeking a Quant Economic Capital Modeler to join their Enterprise Risk team in London.

Role Responsibilities
• 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

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Contact Aaron about this job

Director, Credit & Risk Management