Quantitative Risk Analyst Quantitative Risk Analyst …

ICBC Standard Bank
in London, United Kingdom
Contract, Full time
Last application, 29 Oct 20
Negotiable
ICBC Standard Bank
in London, United Kingdom
Contract, Full time
Last application, 29 Oct 20
Negotiable
The purpose of the role is to support and further develop the Bank's Risk Methodology framework. A strong emphasis is put on Market Risk methodologies as the Bank has Internal Model Approval (IMA) for Market Risk. This will require Change-the-Bank (CtB) and Run-the-Bank (RtB) support.

ICBC Standard Bank Plc (ICBCS) is 60% owned by Industrial and Commercial Bank of China and 40% by Standard Bank. ICBCS benefits from a unique Chinese and African parentage and an unrivalled global network and level of expertise

ICBCS is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and the markets in which we operate. We deliver products in an environment which considers the appropriate needs of our clients, whilst providing guidance and expertise to ensure our employees understand our business and uphold the highest levels of conduct. We want passionate and talented individuals who are motivated by high growth potential being achieved in doing business the right way

Headquartered in London, ICBCS also has operations in Hong Kong, Shanghai, Singapore, and New York.

https://www.icbcstandardbank.com/

Job Purpose

The purpose of the role is to support and further develop the Bank's Risk Methodology framework. A strong emphasis is put on Market Risk methodologies as the Bank has Internal Model Approval (IMA) for Market Risk. This will require Change-the-Bank (CtB) and Run-the-Bank (RtB) support.

  • Support regulatory related project work on the Risk Free Rate (Ibor replacement). This will involve impact analysis on systems and regulatory capital metrics (VaR, stressed VaR etc)
  • Assist with setting up RniV calculations related to the IMA model and assist with market data review and calculation used for VaR/sVaR.
  • Maintain up to date and detailed documentation of the existing risk models and risk methodologies affected by this change, meeting regulatory requirements and internal standards.
  • Provide detailed pre-emptive justification and ongoing review of the modelling choices and assumptions in support of model risk management.
  • Communication and interaction with the different stakeholders and oversight bodies: Global Markets, Risk Type Heads (Head of Market Risk, Credit Risk, and Operational Risk) Risk Managers, Regulators (PRA, MAS, HKMA and CBRC), internal and external Auditors and Model Validation.

Keys responsibilities:

Risk methodologies -RFR

  • Analyse how the Front Office pricing models, the available market data and on-going market practice tie in with the risk models specifically through the use of data proxying and quantification of RNIV (Risk Not in VaR) to ensure comprehensive risk management and how these are going to be affected by Ibor replacement.
  • Understand the Regulator's expectation in terms of model development and documentation, through a good knowledge of the current and forthcoming regulatory framework (European CRR text as well as PRA Supervisory statements).
  • Perform ad-hoc modelling on specific deals. Proactively deal with requests such as new projects, new methodology, unexpected market and regulatory changes.
  • Review back testing and stress testing programs and ensure appropriate contribution to the "Firm Wide" stress test.

Model Governance

  • Ensure on-going and periodic review, analysis and documentation of the models in line with the review schedule of the Model Validation Team. This calendar should be defined and agreed with the head of Risk Analytics.
  • Interact with model validation, ensuring them free access to all methodology material and providing clarity on model assumptions and limitations.

Systems Developments and New Products

  • Participate in the elaboration of new systems (e.g. to support FRTB, IOSCO SIMM);
  • Provide methodology specifications to IT and project teams.

Key interfaces

  • Establish a strong working relationship with the Quantitative Analysis Department (QAD), Global Markets trading function and the risk function.
  • Establish a strong relation with Front Office, the Model Validation team and the risk teams.
  • Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.

Experience required to successfully perform the role:

  • Strong practical and theoretical risk modelling knowledge including modelling techniques used in VaR, SVaR, RniV, back testing and stress testing.
  • Proficiency in Excel and proficient level in at least one of Python / C# / C++ or similar languages;
  • Excellent quantitative and problem solving skills.
  • Basic understanding of pricing models.
  • A clear independent and effective communicator, persuasive in inter-personal communication;
  • Ability to deliver practical solutions in a demanding high-pressure environment.
  • Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines.
  • The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and a problem solver who is good at dispute resolution.

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