Stress Testing Modeller recruitment
Description of role and responsibilities, overall job objective
(The aim of this list is to provide an indication only; it is by no means exhaustive):
N.B. This role is to provide maternity coverage
Ø To generate an approach to stress testing to generate automated means of stressing the portfolio using existing data sources given various input changes. Including:
o Defining linkages between key profit and asset variables relating to retail portfolios and economic variables
o Providing a basis to stress regulatory standardised capital requirements given changes to underlying economic variables
o Consider the inter-relationship between risks under stressed events
Ø To enhance the ability of the Group to ensure that scenarios and stresses are applied consistently across portfolios (including non retail portfolios)
Ø To develop approaches to apply general principles to small, wholesale portfolios for stress testing
Ø To design the tools such that the approach can be rolled forward ongoing and integrated into capital planning
To develop an approach to credit risk stress testing that can be used for general reporting and integrated into internal capital, reverse stress testing and reporting as appropriate
Core competencies
Technical knowledge
Ø A statistical, mathematical or financial background
Ø Experience of capital planning under a retail and wholesale banking environments
Ø Understanding of various types of risk faced by banking institutions
Ø Experience in developing practical solutions for modelling where little data is available
Ø Practical experience in implementing and developing reporting for various levels of management skills and how they are applied
Ø Analytical skills: Quantitative Problem Solving and Judgement.
Writing, communication and presentation skills.