Credit Risk Modelling-Balance Sheet Manager recruitment
This is a new function and will provide the opportunity for candidates to be involved at the grass roots level of building and implementing a function. This will suit pro-active individuals with good relationship management skills as well as highly developed analytics skills, and who like to get their hands dirty as well as contribute to development and implementation of forward looking strategy for balance sheet Management.
The ideal candidate will be from a quantitative background with previous experience of portfolio credit risk analytics and credit portfolio modelling in an active credit portfolio management environment, also has experience in acquiring, specifying, transforming and loading data into portfolio credit risk models. Proven experience in RiskFrontier or similar model (CreditManager or other internal model) a must.
KEY ACCOUNTABILITIES
• Source and ensure Portfolio Credit Risk Models are appropriately populated with reliable and robust data.
• Assess Marginal Risk/Return contribution of origination to determine reward for credit risk consumed.
• Assess fit of origination with strategic balance sheet Risk Management goals, Target Portfolio Risk Return Profile and Risk Appetite.
• Provide Portfolio Risk-Return perspective direction and challenge on material credit products, markets and sectors.
• Assess Marginal Risk/Return Contribution of existing portfolio across Sectors, Geographies, Obligors, Businesses and Products.
• Apply portfolio analytics to identify Concentration Risk Spikes, Diversification Pockets, Best Worst Performers, opportunities for Risk-Return Optimisation and Risk Distribution.
• Apply portfolio analytics to determine Target Portfolio Risk-Return Profile and strategic Balance Sheet Management and Business goals.
• Assess impact of Change, Optimisation and Distribution scenarios on Portfolio Risk-Return profile.
• Liaise with all functions to ensure appropriate capital treatment, support Risk Appetite, Strategy Sector Reviews.
• Assist in balancing Risk Appetite and Diversification to maximise Risk Adjusted Returns.
• Input to process to ensure capital is optimised, allocated effectively, and managed to budget.
• Input to process to ensure liquidity is appropriately treatment in optimal capital allocation.
• Assess potential impact of complex transactions on the Portfolio Risk-Return profile and performance.
Knowledge, Experience and Skills Needed:
- A degree or equivalent.
- 5 years+ experience within a corporate back with relevant product knowledge.
- Previous experience in credit portfolio risk analytics and credit risk modelling.
- High level of portfolio risk analytics capability, and ability to draw insight from analytics outputs and apply to informing assessment of portfolio risk-return ,and origination and optimisation decisions.
- Well developed relationship development and management skills.
- Good banking and lending product knowledge including instruments used to achieve risk mitigation (CDS, securitisation, etc).
To apply for this role please contact Aaron.Crowley@bruinfinancial.com