Quantitative Risk Analyst - Stress Testing - Banking, London

Job Description

About the Quantitative Risk Analyst - Stress Testing - Banking, London role:This is an exciting opportunity for a junior to intermediate-level professional to join the risk function in a dynamic and growing business, reporting to the Head of Stress Testing.What will the Quantitative Risk Analyst - Stress Testing be involved in

• (1) Regulatory stress testing / ICAAP (Internal Capital Adequacy Assessment Process)
• (2) Financial risks from climate change
• (3) Emerging risk assessments

Key Responsibilities of the Quantitative Risk Analyst - Stress Testing, Banking, London role:

• Deliver and continuously enhance the impairment loss calculation for the annual ICAAP process: This involves gathering asset level balance sheet information; up-to-date risk models (PD, LGD); reviewing and where necessary recalibrating the risk models;benchmark the results to previous iterations and regulatory benchmarking information; results submission and documentation for the ICAAP process
• Assist in the implementation of regulatory stress scenarios: This includes requirements analysis of BoE Annual Cyclical Scenario; support the FP&A (Financial Planning and Analysis) stakeholders in the interpretation and implementation of BoE and bank-specificscenarios; review, benchmark and challenge stress testing submissions
• Reverse stress testing scenario development and implementation: Identification of potentially extremely severe events that could threaten the business model; quantitative and qualitative implementation and documentation of reverse stress scenarios for thepurpose of the annual ICAAP process
• Financial risks from climate change: Consolidation of the risks assessments conducted to date; identification of quantitative risk factors relevant for ongoing risk management; integration with BAU risk management and data management processes; bottom-upanalysis of portfolios potentially vulnerable to climate transition or physical risks
• Emerging risk assessments: Stay abreast of the global and domestic macro-economic risk backdrop; identify any remote but plausible potential risk events that could impact the banks business model; perform ad-hoc quantitative and qualitative assessmentsof identified potential vulnerabilities
• Other: Stress testing process / methodology documentation as part annual policy/framework review; involved in stress testing requirements analysis for business/regulatory initiatives such as AIRB, model risk management; preparation of governance committeepapers

Competencies of the Quantitative Risk Analyst - Stress Testing, Banking, London role:

• Strong quantitative mindset, preferably experience in handling larger datasets
• Awareness / understanding of banks typical financial risks, in particular credit risk, and basic understanding of credit risk models
• Willingness to look at different risk types, including market risk, business risk, liquidity risk and operational risk
• Awareness of UK regulatory (BoE/PRA) expectations for banks stress testing processes
• Self-starter and able to work independently
• Willingness and ability to continuously enhance knowledge and take on more responsibilities
• Financial analyst or risk manager qualifications considered an advantage
• Hands on approach and prepared to get involved in a broad spectrum of stress testing activities
• This role offers a stimulating and varied environment focusing on identifying and articulating macro-economic and bank-specific vulnerabilities and develop/implement methodologies, systems and processes to enhance the banks stress testing capabilities.

In return our client can offer excellent opportunities for personal and career development and a highly competitive package.For more information about the Quantitative Risk Analyst - Stress Testing role or to apply send your CV now.