Credit Portfolio Risk Officer recruitment
To be suitable for the role you must have experience in the following:
• Strong quantitative degree eg in applied mathematics / engineering / physics or related discipline
• Experience of credit portfolio management and or economic capital at more than one financial institution
• Excellent understanding of loan and/or derivative portfolios and the assessment of credit risk on these, including tail risk, economic capital, valuations and management
• In particular, expertise in one or more of the following areas is a pre-requisite: Modelling and measurement of counterparty credit risk - with particular focus on internal model method, including risk factor simulation, product valuation and risk weighted asset calculations.
• Modelling and measurement of counterparty credit risk - strong knowledge and practical understanding of the credit valuation adjustment from a regulatory, accounting and business perspective. Incremental risk charge ('Basel 2.5') - direct experience of developing and implementing methodologies for IRC with particular focus on default and migration risks as well as the comprehensive risk measure ("correlation trading portfolio")
• Capital management and optimisation - including examples of capital optimisation structures and techniques with particular focus on more recent regulatory changes
• Stress testing methodologies and frameworks - for credit portfolios covering loans, bonds and derivatives
In return they are offering a starting salary between £65,000 - £90,000 dependant upon experience, plus bonus, excellent benefits and huge potential for further career progression.