Basel II/III Specialist recruitment
Working in a team of specialists, responsibilities will include the pre/post notification process for AIRB changes, computation and management of the immateriality ratio and credit risk RWA advice.
Main Duties:
Drafting notifications of changes affecting AIRB regulatory capital for FSA, including
changes to the regulatory capital calculation
introduction of new counterparty models,
recalibration of existing models or introduction of new Barclays sites).
This includes, but is not limited to, liaison with subject matter experts (e.g. model
developers, credit officers, IT developers), submissions to the regulators etc#
Computing and managing the immateriality ratio
Providing RWA advice to the business / credit executives on transactions.
Person Requirements:
Quantitative subject preferably Science based, Mathematics or Finance/ Business/Economics.
Knowledge of Basel II /III in relation to counterparty risk models (AIRB approach)
Experience of regulatory reporting /data mining
Experience of working within an investment banking /derivative product environment
Preferred
Previous exposure to probability of default, loss given default and exposure at default modelling
Business experience of working within a credit risk department.
Strong attention to detail, with a meticulous approach to documentation.
Knowledge of the credit risk for derivative products