Credit Portfolio Analytics – Active Credit Portfolio Management recruitment
The Active Portfolio Management Risk team supports the division in improving the shape of its balance sheet by raising its analytic capabilities in order to enable it to make better commercial decisions.
Responsibilities include:
The role holder supports the aims of the department through the development of a robust suite of analyses and analytical tools to understand, optimise and monitor the division's asset portfolio. Responsibilities will include:
" Drive better understanding of economic capital outputs, their accuracy at the granular level, and their appropriateness for various uses
" Develop an understanding of how risk parameter modelling choices impact economic capital calculations
" Become acquainted with divisional strategies to steer origination decisions, and improve decisions through the better use of analytics
" Develop the use of stress testing in sector reviews
" Develop tools to improve the efficiency of pricing and capital allocation
" Conduct analyses to identify assets for distribution through secondary market activities (e.g. securitisations, CDOs etc.)
" Conduct adhoc analyses of portfolio risk and performance as required, for example under stress events, rapidly changing economic conditions, business disposals or acquisitions
" Help with the development of datasets used for analytics and distribution
" Conduct analytics by combining data from various RBS systems (finance and risk systems, grading systems etc)
The suitable candidate should have experience within the following areas:
" Economic capital modelling, in particular Credit EC modelling
" Embedding and usage of Economic Capital outputs
" Macro-economic stress testing
" Impairment forecasting
" Risk Parameter Modelling (PD, LGD and EAD)
" Basel 2 regulatory capital reporting (Pillar 1 and 2)
" Development of relational databases
" SAS programming
" Excellent quantitative skills