Portfolio Analytics Manager recruitment
My client a leading corporate bank, require a professional with strong economic capital modelling skills in particular credit EC modelling. Additional experience in pricing models, PD LGD modelling.
My client requires a quantitative portfolio analytics manager to join their active credit portfolio team who support the division in improving the shape of its balance sheet by raising its analytic capabilities in order to enable it to make better commercial decisions.
This is a hands on role reviewing the economic capital models advising the development team of improvements where required. Previous experience in influencing senior stakeholders conveying the teams needs to help achieve the best solution.
The suitable candidate should have expert knowledge within the following areas:
- Economic capital modelling, in particular Credit EC modelling
- Embedding and usage of Economic Capital outputs
- Macro-economic stress testing
- Impairment forecasting
- Risk Parameter Modelling (PD, LGD and EAD)
- Basel 2 regulatory capital reporting (Pillar 1 and 2)
- Development of relational databases
- SAS programming
The following experience is considered to be relevant:
- Prior experience in development implementation of analytical risk measurement tools (preferably portfolio level credit risk models) within a banking, financial markets or consulting environment
- Experience in handling interpreting complex data, including identifying trends challenging assumptions
- Experience in use of relevant IT skills data manipulation tools for analysis prototyping (SAS preferred)
- Thorough understanding of credit risk portfolio theory, risk concentration analysis, stress testing, risk/return measurement, capital allocation approaches Basel 2
• Strong quantitative background minimum MsC ideally PhD in a quantitative subject
• Published papers on economic capital and/or Portfolio analytics.