Credit Risk Reporting – Backtesting – VP recruitment
This team is responsible for the backtesting reporting and production framework. The main function of this role will be to improve the established sustainable reporting process for Q1 and Q2, 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 backtesting of the portfolio.
This is a highly important position with very high profile team so they are looking for someone with strong communication skills who can deal with senior management on a daily basis.
Responsibilities include:
- Carrying out all data preparation steps (including data quality) required to generate inputs for the simulation engine
- Production of the Monitoring packs
- Work to redesign and implement a new backtesting reporting process that will be fit for transition into Basel III
- Identify and fix data quality issues
- Agree with stakeholders and implement a Basel III compliant template for presenting the results at key governance committees
- Working on systems developments/enhancements to meet users requirements
- Co-ordination of UAT’s associated with the above initiatives including consolidating user issues
- Investigation of problems in the process to identify and rectify issue
Skills required:
- Graduate in a relevant subject from a reputable university
- Masters in mathematical finance, financial engineering, or equivalent
- Good working 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 is preferable
- Ability to carry out general analysis of EEPE and PFE
- Working on IT projects to document requirement and oversee user testing.
- Strong Excel and Access skills
- VBA and XML is preferred
If you would like to apply for the role of Credit Risk Reporting - Backtesting – VP or find out more, please apply online or contact Anna Purves at Robert Walters on anna.purves@robertwalters.com quoting the reference 1609580/APC