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.