Credit Risk/Backtesting manager recruitment
The Risk function is responsible for evaluating, monitoring and controlling Market, Credit, Contingent, Operational and Settlement Risk to ensure comprehensive and effective control and independent challenge to support the Firm in its commercial objectives. Risk works with business units to independently quantify the appropriate level of risk for the client, for the firm and for our shareholders, applying appropriate governance and control to ensure the right decisions are made using accurate calculation, assessment and recording of exposure and risk.
Credit Risk Reporting, among other things, is responsible for the backtesting reporting and production framework. The main function of this role will be to improve the established sustainable reporting process 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.
Responsibilities
- Working with partners in Derivatives business around counterparty exposure, Quant teams and IT 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.
- Any other tasks as required in support of Basel III projects.
- Working on systems developments/enhancements to meet users requirements
- Trading products exposure profile analysis
- 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.
- Back Testing reporting process, that consists of responsibility for:
- carrying out all data preparation steps (including data quality) required to generate inputs for the simulation engine,
- carrying out periodic movement analysis,
- investigating reasons for movements period analytics,
- preparing the first versions of the regular reports including but not limited to the contribution to the existing pack.
- Development production of the Monitoring packs
- Assist and Development teams with report automation
- Liaising with different stakeholders (Credit Risk Managers/Reporters, Tactical Strategic IT teams, Quants, Derivatives FO, Portfolio Management) in order to draw up work schedule
Essential
- 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
- Ability to carry out general analysis of EEPE and PFE
- Managing teams and senior stakeholder relationships,