Risk Reporting – Backtesting recruitment
This is a VP level role with a high-level of exposure across the business. The intention is to hire the best talent on the market in order to establish the Risk function as the 'best in class' across all investment banking institutions.
KEY DUTIES:
Credit Risk Reporting (CRR), 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 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. Major functions of the role are::
- Working with partners in Derivatives Counterparty Exposure Management (DCEM), Quantitative Analytics (QA) 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 CRR 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.
Main Duties
- 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 with Exposure Management teams
- preparing the first versions of the regular reports including but not limited to the contribution to the existing pack.
- Work closely with QA and Exposure Management in the production of the Monitoring packs
- Assist CRR and Development teams with report automation
- Liaising with different stakeholders (Credit Risk Managers/Reporters, Tactical Strategic IT teams, QA, DCEM, Portfolio Management) in order to draw up work schedule
Person Requirements
Qualifications /Education:
Essential:
- Graduate in a relevant subject from a reputable university
- Preferred:
- Masters in mathematical finance, financial engineering, or equivalent
Experience required:
- Good working understanding of the main derivative products and credit exposure methodologies.
- Understanding and adhering to relevant regulatory and internal governance requirements