Quantitative Risk Manager
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Quantitative Risk Manager
12 Month Contract
This role is part of the The Risk Methodologies and Analytics (RMA) Team is part of the Bank’s Risk division. RMA is a cross functional Risk Management team that reports to the Head of RMA. which is responsible for various responsibilities regarding methodologies on a quantitative and qualitative basis for Market Risk, Counterparty Credit Risk, Credit Risk, Operational Risk, Liquidity Risk, Business Risk and portfolio modelling relating to Economic Capital.
What you’ll be doing
You’ll be responsible for:
- Supporting and developing the MR and CCR methodology framework and provide methodological assurance for new product approval process.
- Support regulatory related work in a broad sense covering pillar1 (IMA, FRTB SBA) and pillar 2 (a – internal capital /b – stress capital framework) in relation to MR / CCR.
- Participation in change the bank strategic initiatives where it crosses over MR / CCR methodology.
- Assist on and take ownership where feasible with setting up RniV calculations related to the IMA model and assist with market data review and calculation used for VaR / SVaR / CCR risk factor calibration.
- Maintain up to date and detailed documentation of the existing risk models (such as IRRBB) and risk methodologies affected by change, meeting regulatory requirements and internal standards.
- Provide detailed pre-emptive justification and ongoing review of the modelling choices and assumptions in support of model risk management.
- Provide support and liaise with Model Validation to address related model validation findings.
What you’ll need to be successful
We’re looking for the following skills and experience. If you don’t have all of these but think you could be a good fit for the role, get in touch.
- Experience in either MR or CCR modelling either through a model development or model validation role;
- Intermediate practical and theoretical mathematical risk modelling knowledge including modelling techniques;
- Proficiency in Python / C# / C++ / Matlab development experience including integration with Microsoft Office.
- Understanding and practical experience of:
- MR modelling experience used in VaR, SVaR, RniV, back testing and stress testing to support historical simulation VaR model.
- Incremental Risk Charge (IRC) model development experience.
- An understanding of front office valuation across trading and banking book.
- Murex experience.
- CCR exposure calculation (risk factor simulation and valuation) and metrics experience
Why should you join us?
ICBC Standard Bank Plc (ICBCS) is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and markets. We benefit from a unique Chinese and African parentage and an unrivalled global network and expertise. We’re headquartered in London, with operations in Shanghai, Singapore and New York.
We’re a diverse and close-knit global team. We put people first, giving talented, self-driven professionals the flexibility, rewards and freedom to grow their expertise and realise their potential.
Our vison statement, “Be Yourself, Succeed Together” underpins our drive for an open and transparent culture which values difference, enabling everyone to thrive whilst being themselves. We have an active E, D&I forum and we’re growing other employee network groups, including for women and neurodiversity.
We’re committed to the principle of equal opportunities. All applicants will be treated equally and will be considered on their merits and skills without discrimination.
What’s in it for you?
- Financial – market-based pay based on skills and experience, discretionary annual bonus, pension contribution 10% (employee contribution 5%), travel insurance, life assurance and income replacement insurance.
- Hybrid working – the option to work remotely up to two days per week, depending on the role.
- Family - 6 months fully paid maternity leave and enhanced shared parental leave. Coaching for family leave returners and access to emergency care via My Family Care. Miscarriage and menopause policies.
- Wellbeing - private medical insurance, Bike2Work scheme, health and fitness subsidy, holiday exchange and an Employee Assistance Programme.
- Community – paid volunteering leave and Give As You Earn scheme. Vibrant CSR and engagement forums and fundraising for our charity partners.
- Development – a suite of opportunities to build the skills you need to excel in your role
If you’re excited about becoming part of our team, get in touch. We’d love to hear from you!
ICBCS has appointed Robert Walters Outsourcing (RWO) to manage its recruitment process and Preferred Supplier List (PSL). Unsolicited CVs sent directly to ICBCS or its staff from non-PSL agencies will not be accepted and no fees will be paid for such submissions.