Risk Analyst

  • Take lead in the development and enhancement of current stress testing framework to ensure that they are compliance with regulators and are appropriate for internal risk management.

  • Perform regular and ad-hoc calibration of scenarios for counterparty credit risk and carry out stress testing on portfolios; top-down, bottom-up and deep dive analysis.

  • Manage key stakeholders (i.e. Senior Management, Credit Risk Managers, Strategic Risk Management) by answering their requests, assuring an efficient cooperation within different departments, maintaining a solid communication and by explaining at a suitable level movements and drivers of the various models and approaches used within Counterparty Credit Risk.

  • Support the strategic scenario infrastructure initiative; define and document business requirement for counterparty credit risk stress testing for strategic implementation.

     



  • Previous experience, preferably in a risk management or modeling role in an investment bank or risk consultancy.

  • MSc in Applied Mathematics (Financial Maths, Quantitative Finance or similar) or equivalent relevant working experience in a quantitative analysis position (Risk or Front Office)

  • Excellent written and verbal communication skills, including an ability to provide clear and comprehensive written and verbal responses, and “make complexity simple”.

  • Solid product knowledge including understanding of the risks for OTC and exchange traded derivatives, as well as for EPB/Stock Lending & Borrowing/Repo transactions.

  • Distinctive knowledge of Counterparty Credit Risks, including a solid VaR and market risks background. Ideally working experience with models such as VaR, IMM, WWR, IRC, CVA and Stress testing in a risk management function.

  • Coding skills (VBA, SQL) plus the will and endurance to investigate the root cause of a problem.

  • Solid quantitative background.

  • A reliable and motivated teamplayer that manages projects and tasks independently with a hands-on mentality, electrifying with drive and commitment, that is willing to accept challenging tasks under demanding circumstances. A motivating, congenial and energetic personality, that is loyal and which others like to work and cooperate with.