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Credit Risk Modelling
Eingestellt von Nicoll Curtin Technology
Gesuchte Skills: Client
Projektbeschreibung
An international banking client are looking for a Credit Risk SME to join them on a 6 months assignment.
The role is to establish appropriate leadership and coordination of credit risk stress testing results which feed into firm wide stress testing analysis. The role would also take a lead on establishing market risk methodology feeding into Ad-hoc scenario analysis.
The responsibilities:
- Coordinate and manage stress testing model inventory Book of Work for CRM
- Development of stress testing methodology which would enable execution of ad-hoc scenarios. This is also a critical CARMC/BOD requirement to enable ERM to respond to ad-hoc scenario requests in timely manner with sufficient degree of confidence
- Build out of challenge function, as committed to FINMA as part of C01 FWST initiative
- Presenting methodology developments along with impact analysis to senior management. The key stakeholders would be the regulator as well as Board and senior management.
- The job entails working on stress testing methodology focused on credit risk. The results of stress testing would also feed into internal risk appetite/limit setting process and hence successful candidate would be expected to further integrate stress testing results with business decision making process.
- Developing and improving existing credit risk stress testing methodology for lending and counterparty exposures.
- Working closely with Credit Risk modelling team to understand and provide effective challenge to approaches developed by the team. This is the most challenging part of the role as there is a lot of scope for creativity and out of the box thinking to come up with innovative solutions.
- Coming up with alternative challenger approaches to benchmark results driven by the primary models developed by Credit Risk modelling team.
Skills required:
- Degree in finance with quantitative background such as PhD would be preferred
- 7-10 years' experience of having worked in a credit risk function, focused on corporate and retail loans/Over the Counter derivatives/SFTs
- Excellent financial modelling skills with a strong quantitative background
- Good understanding of complex investment banking products/risks
- Successfully developed/enhanced credit stress testing methodology
- Solid understanding of credit stress testing methodology, especially for lending books and counter party credit risk
- Capable of delivering results under strict deadlines
- Excellent verbal and written communication in English
If you are interested, please submit your CV below or send it directly to Ilona (see below)
The role is to establish appropriate leadership and coordination of credit risk stress testing results which feed into firm wide stress testing analysis. The role would also take a lead on establishing market risk methodology feeding into Ad-hoc scenario analysis.
The responsibilities:
- Coordinate and manage stress testing model inventory Book of Work for CRM
- Development of stress testing methodology which would enable execution of ad-hoc scenarios. This is also a critical CARMC/BOD requirement to enable ERM to respond to ad-hoc scenario requests in timely manner with sufficient degree of confidence
- Build out of challenge function, as committed to FINMA as part of C01 FWST initiative
- Presenting methodology developments along with impact analysis to senior management. The key stakeholders would be the regulator as well as Board and senior management.
- The job entails working on stress testing methodology focused on credit risk. The results of stress testing would also feed into internal risk appetite/limit setting process and hence successful candidate would be expected to further integrate stress testing results with business decision making process.
- Developing and improving existing credit risk stress testing methodology for lending and counterparty exposures.
- Working closely with Credit Risk modelling team to understand and provide effective challenge to approaches developed by the team. This is the most challenging part of the role as there is a lot of scope for creativity and out of the box thinking to come up with innovative solutions.
- Coming up with alternative challenger approaches to benchmark results driven by the primary models developed by Credit Risk modelling team.
Skills required:
- Degree in finance with quantitative background such as PhD would be preferred
- 7-10 years' experience of having worked in a credit risk function, focused on corporate and retail loans/Over the Counter derivatives/SFTs
- Excellent financial modelling skills with a strong quantitative background
- Good understanding of complex investment banking products/risks
- Successfully developed/enhanced credit stress testing methodology
- Solid understanding of credit stress testing methodology, especially for lending books and counter party credit risk
- Capable of delivering results under strict deadlines
- Excellent verbal and written communication in English
If you are interested, please submit your CV below or send it directly to Ilona (see below)
Projektdetails
Geforderte Qualifikationen
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Kategorie:
IT Entwicklung