Credit Risk Backtesting – VP recruitment
They are looking to hire a VP to improve the established reporting process for credit risk, and then transition into the strategic Basel III framework. This role will work closely with other members of the team to develop and improve the existing back-testing of the portfolio. Major functions of the role are:
Responsibilities include:
Managing the Back Testing reporting process
Working closely with Quality Assurance and other quantitative teams to assist in the production of the Monitoring packs
Assisting credit risk and Development teams with report automation
Liaising with different stakeholders (Credit Risk Managers/Reporters, Tactical Strategic IT teams, Quality Assurance and Portfolio Management) in order to draw up work schedule
Working with partners in Derivatives Exposure Management and Quantitative Analytics departments to redesign and implement a new back-testing reporting process that will be fit for transition into Basel III.
Working with stakeholders to implement a Basel III compliant template for presenting the results at key governance committees.
Working on systems developments/enhancements to meet users requirements
Person Requirements:
A good understanding of the main derivative products and credit exposure methodologies.
Understanding and adhering to relevant regulatory and internal governance requirements
Experience working in a top tier investment bank in a similar role
Prior experience in Market Risk
Ability to carry out general analysis of EEPE and PFE
Managing teams and senior stakeholder relationships,
Working on IT projects to document requirement and oversee user testing.
VBA and XML