Quantitative Risk Analyst

  • Competitive
  • Edinburgh, Scotland, United Kingdom Edinburgh Scotland GB
  • Permanent, Full time
  • RBS
  • 16 Jul 18 2018-07-16

See job description for details

The Business
Join us as Credit Model Risk Quant in Edinburgh

  • This is a model validation role, where you'll be providing technical review and challenge for all material wholesale and retail credit risk models used for regulatory capital, credit and finance stress testing, IFRS9, credit pricing, and customer lending decisions
  • You'll gain exposure to all business units and legal entities across RBS, in addition to getting close to the data and systems
  • We are an international team with a wide remit, with members having a varying level of experience and skills, in a supportive and collaborative atmosphere
  • Flexible working is available for this role, and can be discussed at interview

What you'll do

You'll be reviewing and validating assigned models used within RBS, primarily Retail and Commercial, designing validation strategy for IFRS9 periodic validation and supporting the development of validation standards. We'll look to you to make sure that these models are appropriate for their designated uses, and that significant model risks are identified and effectively communicated to the team lead, model owner and model end-users.

You'll also be:
  • Overseeing first line of defence model assurance activities performed by model development teams
  • Advising on how model risk can be reduced or mitigated
  • Reporting on the findings of model risk reviews to the forum and other stakeholders impacted by, or end users of, the model
  • Interacting with auditors, regulators and model developers
  • Communicating with various stakeholders, including the Head of Credit Model Risk, model owners and developers users' representatives, auditors and regulators

The skills you'll need

You'll need to demonstrate, at a minimum, a degree level qualification in a quantitative or finance subject, such as Mathematics, Physics, Statistics or Finance, along with extensive experience in model development, or validation and implementation of credit risk measurement models. We'd also welcome additional qualifications such as a Doctorate (PhD).

You'll also show:
  • Problem solving and analytical skills at a high level
  • An ability to simplify complex concepts to ensure senior management understanding of key model related issues
  • Reasonable understanding of Basel requirements, knowledge of IFRS9 models and ST models
  • Some experience in delivery of both written and verbal communications to senior colleagues
  • Strong capability in the use of standard, non-specialist software tools including Excel, PowerPoint, Word and good working knowledge of SAS.

It would also be an advantage, but not essential, to have:
  • Expertise in modelling and statistical analysis
  • Knowledge of the wide range of products and related risk management issues across business areas and jurisdictions in which RBS operates
  • Detailed knowledge of model related regulatory requirements, with a particular emphasis on Basel 2/3, CP26/17 and stress testing requirements

How we'll reward you

In return, we offer a competitive salary plus 30% cash and benefit funding programme that can be tailored to suit your individual needs. In addition, we provide a wide selection of exclusive lifestyle offers, development and learning programmes, services and support designed to help you manage and balance your work/life priorities.

Visit our reward and benefits page for more information on the benefit packages we offer.

Inclusion

At RBS, we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, we'll do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles - find out more .

As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, you'll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks.