Job Purpose:
The focus of the role will be to act as the main point of contact within the legal entity for quantitative risk models around ICAAP and regulatory stress testing including the EBA Stress Test.
Key Responsibilities:
- Responsible for the modeling aspects of stress testing and economic capital requirements for ICAAP including scenario design, also including EBA Stress Test
- Responsible for model risk compliance for all stress testing and ICAAP model uses, requiring close collaboration with QRS model development teams in different locations to ensure models are fit for purpose for legal entity use
- Provide analytical support to other functions and processes within the legal entity, such as risk management and finance
- Lead interactions with the regulator regarding stress testing and ICAAP modeling requirements
- Oversight of key stress testing and ICAAP change initiatives for the group
Development Value:
- Becoming subject matter expert for all ICAAP and Stress Testing models applied in the group
- Leading the governance process around those models
- Develop a strong network with senior management, as well as with global stakeholders
- Being the main contact for the regulator on related model topics
Qualifications:
- Post-graduate Degree in Economics, Finance, or another quantitative field (Mathematics, Statistics, Physics, Computer Science, etc.)
- 8+ years of experience in financial services sector, in roles requiring superior problem solving analytical capabilities; must include experience across multiple risk stripes in financial model development or validation
- Line-management experience preferable
Experience/Knowledge:
- Experience interacting with regulators on model-related topics
- Up-to-date working knowledge of regulatory requirements and change, specifically those from Basel and European regulatory authorities
- Experience in ICAAP models for market and counterparty credit risk.
- Knowledge of EBA Stress testing and related modeling requirements