Within Risk Management, the Risk Methodology group is responsible for the development of Risk Models and Methodologies globally, including Portfolio Credit Risk models, Value-at-Risk, Credit Exposure and Credit Ratings.
Key objectives critical to success:
- Take the initiative to develop practical solutions to the challenges faced in modelling financial risk.
- Work closely with control functions (e.g. Model Validation, Internal & External Audit, regulators) to explain and defend modelling choices.
- Work co-operatively with colleagues across the firm, including the front office, technology and finance.
- Quantitative support to risk management/trading desks for pre-deal portfolio risk and regulatory/economic capital analysis.
- Enthusiastically develop knowledge of the firm's business, systems and processes.
Skills, experience, qualifications and knowledge required:
- Master's or PhD degree in a quantitative field.
- Experience in programming in Python, Java, C++, VBA or similar.
- Some experience of financial risk modelling and/or derivatives pricing.
- Ability to write clear documentation such that models can be understood by control functions and users.
- Experience of developing code using GitLab/GitHub.
- Knowledge of risk based capital regulations (Basel 3, IRB, FRTB, CRR 2) and/or accounting rules (IFRS9/CECL).
- Experience of economic capital modelling.
- Understand clients' needs and issues, and respond with high-quality proposals
- Acquire capabilities to perform one's responsibilities and contribute to being a Trusted Partner
- Produce new ideas that might challenge the status-quo or oneself
- Seek advice from senior colleagues and utilize it for improved results
- Collaborate with members from relevant departments
- Contribute to the success of the organization both quantitatively and qualitatively, and act with awareness of the impact on others
- Serve as role model and provide guidance to junior employees
- Have a good understanding of corporate philosophy, professional ethics, compliance, risk management, and code of conduct, and make decisions and take actions accordingly