Director, Senior Quantitative Risk Manager
- Market Rate
- London, England, United Kingdom London England GB
- Permanent, Full time
- ICBC Standard Bank Plc
- 14 Jul 18 2018-07-14
The purpose of the role is to support and further develop the Bank’s Risk Methodology framework. A strong emphasis is put on Market Risk methodologies as the Bank has Internal Model Approval (IMA) for Market Risk. Your primary focus will be to drive and lead FRTB implementation.
You will be required to:
•Maintain and develop the risk methodology framework which in addition to Market Risk will also cross-over into the Bank’s other risk classes, namely Counterparty Risk, Credit Risk, Liquidity, Operational Risk and portfolio modelling;
•Maintain up to date and detailed documentation of the existing risk models and risk methodologies, meeting regulatory requirements and internal standards;
•Provide detailed pre-emptive justification and ongoing review of the modelling choices and assumptions in support of model risk management;
•Ongoing identification of risk measurement deficiencies and introduction of measures to counter / provision / capitalise against these;
•Support new business development through interaction with the New Products and Significant Transaction Approval (NPSTA) process;
•Communication and interaction with the different stakeholders and oversight bodies: Global Markets, Risk Type Heads (Head of Market Risk, Credit Risk, and Operational Risk) Risk Managers, Regulators (PRA, MAS, HKMA and CBRC), internal and external Auditors and Model Validation.
The role is a pivotal part of the Risk Analytics Team and an essential part of the Risk Department for ICBCS. This team has the primary responsibility for the analytics used in the Risk Department.
The Analytics team is expected to look beyond the correctness of the model from a mathematical and implementation perspective. Essential is to provide a robust model adapted to the situations and markets the bank operates within. Practical knowledge is therefore required, in addition to excellent theoretical understanding of the Risk Models.
Preferred Qualifications and Experience
•Excellent academic credentials (MSc / PhD in Physics / Mathematics / Statistics / Finance) is essential;
•Strong practical and theoretical risk modelling knowledge including modelling techniques used in VaR, SVaR, back testing and stress testing;
•Excellent knowledge of banking products in a dealing room context;
•Excellent quantitative and problem solving skills;
•Excellent understanding of pricing models;
•A clear independent and effective communicator, persuasive in inter-personal communication;
•Ability to deliver practical solutions in a demanding high-pressure environment;
•Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project based deadlines;
•Good understanding of credit analytics methodologies (stochastic processes);
•Proficiency in Excel and VBA / C# / C++ or similar languages is an advantage;
•Experience of other mathematical modelling, e.g. economic capital modelling an advantage;
•The successful candidate will be a confident pro-active self-starter, an intelligent lateral thinker and a problem solver who is good at dispute resolution.