Quantitative Subject Matter Expert – Internal Model Method – Enterprise Capital Management, Counterparty Credit Risk – London recruitment
This is a distinctive team associated with the implementation of all Counterparty Capital initiatives. The team is accountable for capital and business teams as a subject matter expert to understand the portfolios and be a key contributor to counterparty capital projects.
The Role will involve the Candidate:-
• Understanding the Basel / US final / UK BIPRU rules relating to counterparty
• Partner closely with the counterparty credit team and capital team to drive out , document and assist in implementing the business requirements relating to the regulatory rules
• Understand the systems architecture and detailed data flow as it relates to counterparty credit, and materiality of assumptions
• Perform adhoc specific analysis on the counterparty portfolio to identify key risks
• Deliver of high quality to analysis with recommendations to senior management
• Provide input as SME into counterparty capital initiatives throughout the project life cycle
The candidate must:-
• Advanced quantitative background
• Great communications skills
• PHD or MSc is a quantitative subject
• Strong computer skills, Microsoft Excel, ideally VBA macros and functions