Quantitative AVP - Modelling Group

London Permanent
  • Responsible for developing innovative solutions in climate risk modelling
  • Play a key role in IFRS 9 impairment model design, development and validation

About Our Client

Corporate and Investment Banking Client

Job Description

Develop innovative solutions to enhance climate risk modelling and scenario analysis exercise.

Play a key role in the IFRS 9 impairment model design, development and validation work.

Develop and enhance stress testing calculation for Pillar 2B and Reverse Stress Test

Produce credit stress testing methodology documentation

Develop innovative solutions to model Climate risk and quantify its impact to the portfolio

Play a key role in the IFRS 9 impairment model design, development and validation work.

Participate on various ICAAP work-flows including risk tolerance set up and stress testing calculations

Actively participate in producing appropriate stress scenarios, stressed parameters and models for capital planning

Present and conduct relevant analysis and material to various Risk Committees

The Successful Applicant

Strong financial services track record with previous experience in a quantitative role

Experience working within credit risk essential - and sound knowledge of PD, LGD and EAD models

Strong knowledge of IFRS9

Good knowledge of capital planning and ICAAP frameworks

Experience working on stress testing and regulatory projects beneficial

Advanced modelling skills using VBA and additional skills in Python and/or C++ beneficial

What's on Offer

AVP level hire

Competitive salary and benefits package

Opportunity to join a growing team and business area

Contact
Tim Barnett
Quote job ref
JN-112021-4533535
Phone number
+44 207 776 5926

Job summary

Location
Contract type
Consultant name
Tim Barnett
Consultant phone
+44 207 776 5926
Job reference
JN-112021-4533535