Job Title: Frep Manager Contract Type: 6 months with view to extend Industry: Investment Banking Location: London (remote working currently) Salary: Competitive (Inside IR35)
- Support the "Risk 2025" and "Financial Risk Enhancement Programme" (FREP), a multi-year programme mobilised to fundamentally transform and modernize our approach to managing financial risk management, across the first and second lines of defense.
- IFRS9 Workstream role to deliver the future Wholesale impairment capabilities with more real-time simulations, scenario expansions and 'what-if' capabilities.
- In collaboration with the Senior FREP lead, Wholesale Impairment, design and deliver solutions on a number of initiatives including (but not limited to):
- The role holder will define new model build requirements, desktop ECL calculatiors and Web-design tools, to enhance the delivery capability in Wholesale credit risk.
- Drive the next phase of delivery for simulation tools (Python or other similar technologies) and further integration of the wider system architecture for IFRS9.
- Build simulation / scenario expansion models in line with the requirements of Forward Economic Guidance library and manage that transition to BAU i.e. creating & implementing econometric models for forecasting macroeconomic and financial variables
- Creating a library of key economic shocks required to generate a scenario, e.g. assumptions around monetary policy, commodity and interest rate and other asset price shocks.
- Support management and audit review of scenarios generation team set up, ensuring that the documentation on scenario generation and models is created and fulfils the FIM requirements.
- Assist with the creation & refinement of an economic scenario development process through involvement in the quarterly scenario generation cycle, compliance and governance-related efforts involving model risk management requirements, ongoing model performance monitoring, review and challenge of scenario outcomes, documentation, etc.
- Strategise and design the delivery of IFRS9 FREP relating to simulation and scenario generation
- Review and define innovative solutions to simplify the operating model and make the e2e process of scenario expansion and LIC simulations more efficient and leaner.
- Work with the wider delivery team across Risk Transformation, Risk IT, Finance Change Delivery and other change delivery groups to deliver enhanced Simulation capabilities for IFRS9.
- Engage with wholesale and retail risk teams in creating a standardised output from the in-house expansion process
Knowledge & Experience / Qualifications
- Proven SAS/Python advanced development experience
- Managed/developed large scale system changes with the SAS domain including big data experience.
- Proven experience of using statistical analysis tools for large scale data manipulation and analysis e.g. SAS, Excel, SQL
- Ability to perform data modelling a distinct advantage
- Proven ability to take ownership and accountability - "Self Starter"
- Good interpersonal skills - ability to engage with stakeholders if needed whether business or technical
- Solid and flexible team working attitude
- Focused on delivering to timelines, providing timely progress updates
- Understanding of econometric models for forecasting macroeconomic and financial variables required
- Understanding of Finance & Risk processes at a Global Bank an advantage
- Awareness of IFRS9
- Strong leadership and team development credentials
- Understanding if credit risk models will be an advantage