Quantitative Analyst -Exposure Analytics recruitment
Main Function
The Basel III back testing project is driven by Basel III reforms that require the firm to extend the back testing of IMM approved models. The supervisory authority will specify a number of qualitative criteria that banks would have to meet before they are permitted to use a models-based approach to be able to keep. This calculation is required in addition to EEPE calculated using parameters calibrated to the current period.
The primary focus of the position involves working on the methodology developments for back testing that will be necessary based on Basel 3 requirements
Main Duties
This is then an opportunity to work in a quant team with exposure to all aspects of credit risk, covering all asset classes, and including simulation, pricing and netting. The main duties include:
• Design and development of an efficient back testing process on more than a single statistic of the model distribution, a number of distinct prediction time horizons out to at least one year, over a range of various start (initialisation) dates and covering a wide range of market conditions
• Documenting the developments that will be done and that have been done;
• Working with existing team members to improve development practices.
The successful candidate is expected to be able to work independently, taking ownership of projects or tools as required. They will also be expected to work closely with others: senior quantitative credit analysts, credit experts and the IT development teams in middle office.